Estimation of fractional integration under temporal aggregation

Uwe Hassler

A result characterizing the effect of temporal aggregation in the frequency domain is known for arbitrary stationary processes and generalized for difference-stationary processes here. Temporal aggregation includes cumulation of flow variables as well as systematic (or skip) sampling of stock variables. Next, the aggregation result is applied to fractionally integrated processes. In particular, it is investigated whether typical frequency domain assumptions made for semiparametric estimation and inference are closed with respect to aggregation. With these findings it is spelled out, which estimators remain valid upon aggregation under which conditions on bandwidth selection.

Mots clés: C14 (Semiparametric and Nonparametric Methods); C22 (Time-Series Models); C82 (Methodology for Collecting; Estimating; and Organizing Macroeconomic Data); Long memory; Difference-stationarity; Cumulating time series; Skip sampling; Closedness of assumptions

Domaines: Econométrie de la finance [q-fin.ST]

Uwe Hassler. Estimation of fractional integration under temporal aggregation. Econometrics, 2011, ⟨10.1016/j.jeconom.2011.01.003⟩. ⟨hal-00815563⟩