Time series properties of aggregated AR(2) processes

This paper explores the time series properties of the aggregation of AR(2) processes. It is shown that by averaging the AR(2) processes we get a new class of long memory process.

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Bibliographic Details
Published in:Economics letters 2001-12, Vol.73 (3), p.325-332
Main Authors: Chong, Terence Tai-leung, Wong, Kwan-to
Format: Article
Language:English
Subjects:
Aggregation
Data aggregation
Data analysis
Economic models
Long memory
Mathematical methods
Monte Carlo simulation
Polar form
Time series
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Description
Summary:This paper explores the time series properties of the aggregation of AR(2) processes. It is shown that by averaging the AR(2) processes we get a new class of long memory process.
ISSN:0165-1765
1873-7374
DOI:10.1016/S0165-1765(01)00504-3