Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation

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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Bibliographic Details
Main Author: J. Eduardo Vera-Valdés
Format: Article
Language:English
Published: MDPI AG 2021-10-01
Series:Econometrics
Subjects:
long memory
antipersistence
fractional differencing
aggregation
strong persistence
Online Access:https://www.mdpi.com/2225-1146/9/4/39

Internet

https://www.mdpi.com/2225-1146/9/4/39

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