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Agrégation de processus autorégressifs d'ordre 1

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  • Esmeralda Gonçalves
  • Christian Gourieroux

Abstract

The aim of this paper is the aggregation of AR (1) processes. We determine the dynamic models satisfied by the aggregated series and we characterize all the series which may be interpreted as such an aggregate. We study more carefully the case of a bêta heterogeneity distribution. In particular we propose an homogeneity test and we discuss the sign of the heterogeneity bias.

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  • Esmeralda Gonçalves & Christian Gourieroux, 1988. "Agrégation de processus autorégressifs d'ordre 1," Annals of Economics and Statistics, GENES, issue 12, pages 127-149.
    • Handle: RePEc:adr:anecst:y:1988:i:12:p:127-149
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    File URL: http://www.jstor.org/stable/20075720
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    Cited by:

    1. Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018. "Generating univariate fractional integration within a large VAR(1)," Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.

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