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Persistence under temporal aggregation and differencing. (2014). Hassler, Uwe.
In: Economics Letters.
RePEc:eee:ecolet:v:124:y:2014:i:2:p:318-322.

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  1. Re-examining the movements of crude oil spot and futures prices over time. (2019). Holmes, Mark ; Otero, Jesus.
    In: Energy Economics.
    RePEc:eee:eneeco:v:82:y:2019:i:c:p:224-236.

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  2. A comparison of MIDAS and bridge equations. (2016). Schumacher, Christian.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:257-270.

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References

References cited by this document

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  6. Hamilton, J.D. Time Series Analysis. 1994 Princeton University Press:
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  7. Hassler, U. Estimation of fractional integration under temporal aggregation. 2011 J. Econometrics. 162 240-247

  8. Hassler, U. ; Demetrescu, M. Spurious persistence and unit roots due to seasonal differencing: the case of inflation rates. 2005 J. Econ. Stat.. 225 413-426

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  10. Hassler, U., 2013. Persistence under temporal aggregation and differencing. Social Science Research Network. SSRN-id2392795.
    Paper not yet in RePEc: Add citation now

  11. Kirchgässner, G. ; Wolters, J. ; Hassler, U. Introduction to Modern Time Series Analysis. 2013 Springer:

  12. Paya, I. ; Duarte, A. ; Holden, K. On the relationship between inflation persistence and temporal aggregation. 2007 J. Money Credit Bank.. 39 1521-1531

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  15. Tiao, G.C. Asymptotic behaviour of temporal aggregates of time series. 1972 Biometrika. 59 525-531
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  16. Tsai, H. ; Chan, K.S. Temporal aggregation of stationary and nonstationary discrete-time processes. 2005 J. Time Ser. Anal.. 26 613-624

  17. Working, H. A note on the correlation of first differences of averages in a random chain. 1960 Econometrica. 26 916-918
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