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 |