Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation
This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated processes. In particular, we showed that the antipersistent phenomenon is not p...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-10-01
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| Series: | Econometrics |
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| Online Access: | https://www.mdpi.com/2225-1146/9/4/39 |
| _version_ | 1797505320057044992 |
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| author | J. Eduardo Vera-Valdés |
| author_facet | J. Eduardo Vera-Valdés |
| author_sort | J. Eduardo Vera-Valdés |
| collection | DOAJ |
| description | This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated processes. In particular, we showed that the antipersistent phenomenon is not present for the cross-sectionally aggregated process. We proved that this has implications for estimators of long-range dependence in the frequency domain, which will be misspecified for nonfractional long-range-dependent processes with negative degrees of persistence. As an application, we showed how we can approximate a fractionally differenced process using theoretically-motivated cross-sectional aggregated long-range-dependent processes. An example with temperature data showed that our framework provides a better fit to the data than the fractional difference operator. |
| first_indexed | 2024-03-10T04:16:56Z |
| format | Article |
| id | doaj.art-5fae9bafef9d4b6297f230dc2894a779 |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-03-10T04:16:56Z |
| publishDate | 2021-10-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-5fae9bafef9d4b6297f230dc2894a7792023-11-23T07:58:17ZengMDPI AGEconometrics2225-11462021-10-01943910.3390/econometrics9040039Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and AggregationJ. Eduardo Vera-Valdés0Department of Mathematical Sciences, Aalborg University, Skjernvej 4A, DK-9220 Aalborg, DenmarkThis paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated processes. In particular, we showed that the antipersistent phenomenon is not present for the cross-sectionally aggregated process. We proved that this has implications for estimators of long-range dependence in the frequency domain, which will be misspecified for nonfractional long-range-dependent processes with negative degrees of persistence. As an application, we showed how we can approximate a fractionally differenced process using theoretically-motivated cross-sectional aggregated long-range-dependent processes. An example with temperature data showed that our framework provides a better fit to the data than the fractional difference operator.https://www.mdpi.com/2225-1146/9/4/39long memoryantipersistencefractional differencingaggregationstrong persistence |
| spellingShingle | J. Eduardo Vera-Valdés Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation Econometrics long memory antipersistence fractional differencing aggregation strong persistence |
| title | Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation |
| title_full | Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation |
| title_fullStr | Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation |
| title_full_unstemmed | Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation |
| title_short | Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation |
| title_sort | nonfractional long range dependence long memory antipersistence and aggregation |
| topic | long memory antipersistence fractional differencing aggregation strong persistence |
| url | https://www.mdpi.com/2225-1146/9/4/39 |
| work_keys_str_mv | AT jeduardoveravaldes nonfractionallongrangedependencelongmemoryantipersistenceandaggregation |