A NOTE ON CHAMBERS'S “LONG MEMORY AND AGGREGATION IN MACROECONOMIC TIME SERIES”*
International Economic ReviewPublished 5 July 2005
Leonardo Rocha Souza
Citations29
SJR quartileQ1
SJR score3.24
SNIP1.51
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TL;DR
This note reviews some results on aggregating discrete-time long memory processes, providing a formula for the spectrum of the aggregates that considers the aliasing effect.
Abstract
This note reviews some results on aggregating discrete‐time long memory processes, providing a formula for the spectrum of the aggregates that considers the aliasing effect.
Keywords
Economics, Econometrics and Finance
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