3,789 research outputs found
Long-memory process and aggregation of AR(1) stochastic processes: A new characterization
Contemporaneous aggregation of individual AR(1) random processes might lead
to different properties of the limit aggregated time series, in particular,
long memory (Granger, 1980). We provide a new characterization of the series of
autoregressive coefficients, which is defined from the Wold representation of
the limit of the aggregate stochastic process, in the presence of long-memory
features. Especially the infinite autoregressive stochastic process defined by
the almost sure representation of the aggregate process has a unit root in the
presence of the long-memory property. Finally we discuss some examples using
some well-known probability density functions of the autoregressive random
parameter in the aggregation literature. JEL Classification Code: C2, C13
- …