decision is binary and persistent, the aggregation of individual time series can result in a fractionally integrated process … series can be modelled as I(d) processes. We also investigate the proposition that temporal aggregation of a fractionally …

This paper investigates the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … extent to which ‘observed’ inflation persistence at the aggregate level is due to aggregation and/or common unobserved …

We discuss joint temporal and contemporaneous aggregation of N independent copies of AR(1) process with random …

The aggregation procedure when a sample of length N is divided into blocks of length m = o(N), m ® ¥ and observations … varying levels of aggregation, has much smaller bias, permitting derivation of limiting distributional properties of suitably …

The paper studies the interaction between aggregation and persistence pertaining to skip sampling of stock variables as … well as temporal aggregation of flow variables for the generalized fractional processes. We show that, for skip sampling …, the long memory feature at the zero frequency can arise from the aggregation of a generalized fractional series, while …

his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random …

his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random …

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated … which ‘observed’ inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our …

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated … which ‘observed’ inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our …

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated … which 'observed' inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our …