Long Memory, Fractional Integration, and Cross-Sectional Aggregation

Niels Haldrup; J. Eduardo Vera Valdés

doi:10.1016/j.jeconom.2017.03.001

Long Memory, Fractional Integration, and Cross-Sectional Aggregation

Niels Haldrup^*, J. Eduardo Vera Valdés

^*Corresponding author for this work

Research output: Contribution to journal › Journal article › Research › peer-review

17 Citations (Scopus)

128 Downloads (Pure)

Original language	English
Journal	Journal of Econometrics
Volume	199
Issue number	1
Pages (from-to)	1-11
Number of pages	11
ISSN	0883-7252
DOIs	https://doi.org/10.1016/j.jeconom.2017.03.001
Publication status	Published - 1 Jul 2017
Externally published	Yes

Keywords

Aggregation
Fractional integration
Long memory

Access to Document

10.1016/j.jeconom.2017.03.001

LitAggregationAccepted author manuscript, 1.09 MBLicence: CC BY-NC-ND 4.0

http://pure.au.dk/portal/files/95299553/rp15_59.pdf

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Cite this

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title = "Long Memory, Fractional Integration, and Cross-Sectional Aggregation",

keywords = "Aggregation, Fractional integration, Long memory",

author = "Niels Haldrup and {Vera Vald{\'e}s}, {J. Eduardo}",

year = "2017",

month = jul,

day = "1",

doi = "10.1016/j.jeconom.2017.03.001",

language = "English",

volume = "199",

pages = "1--11",

journal = "Journal of Econometrics",

issn = "0883-7252",

publisher = "Wiley",

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T1 - Long Memory, Fractional Integration, and Cross-Sectional Aggregation

AU - Haldrup, Niels

AU - Vera Valdés, J. Eduardo

PY - 2017/7/1

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KW - Aggregation

KW - Fractional integration

KW - Long memory

U2 - 10.1016/j.jeconom.2017.03.001

DO - 10.1016/j.jeconom.2017.03.001

M3 - Journal article

AN - SCOPUS:85017423762

SN - 0883-7252

VL - 199

SP - 1

EP - 11

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1

ER -