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Time series properties of aggregated AR(2) processes

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  • Chong, Terence Tai-leung
  • Wong, Kwan-to

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  • Chong, Terence Tai-leung & Wong, Kwan-to, 2001. "Time series properties of aggregated AR(2) processes," Economics Letters, Elsevier, vol. 73(3), pages 325-332, December.
    • Handle: RePEc:eee:ecolet:v:73:y:2001:i:3:p:325-332
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    References listed on IDEAS

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    1. Chong, Terence Tai-Leung, 2000. "Estimating the differencing parameter via the partial autocorrelation function," Journal of Econometrics, Elsevier, vol. 97(2), pages 365-381, August.
    2. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    3. Chong, Terence Tai-leung & Lui, Gilbert Chiu-sing, 1999. "Estimating the fractionally integrated process in the presence of measurement errors," Economics Letters, Elsevier, vol. 63(3), pages 285-294, June.
    4. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
    5. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    6. Linden, Mikael, 1999. "Time series properties of aggregated AR(1) processes with uniformly distributed coefficients," Economics Letters, Elsevier, vol. 64(1), pages 31-36, July.
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