Faculty of Economics and Business Administration Publications Database

Estimation of Fractional Integration under Temporal Aggregation

Volume: 162
Number: 2
Pages: 240 - 247
Month: June
ISSN-Print: 0304-4076
Link External Source: Online Version
Year: 2011
Keywords: Long Memory; Difference Stationarity; Cumulating Time Series; Skip Sampling; Closedness of Assumptions
Abstract: A result characterizing the effect of temporal aggregation in the frequency domain is known for arbitrary stationary processes and generalized for difference-stationary processes here. Temporal aggregation includes cumulation of flow variables as well as systematic (or skip) sampling of stock variables. Next, the aggregation result is applied to fractionally integrated processes. In particular, it is investigated whether typical frequency domain assumptions made for semiparametric estimation and inference are closed with respect to aggregation. With these findings it is spelled out, which estimators remain valid upon aggregation under which conditions on bandwidth selection.