• Title of article

    Time series properties of aggregated AR(2) processes

  • Author/Authors

    Chong، Terence Tai-leung نويسنده , , Wong، Kwan-to نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2001
  • Pages
    -324
  • From page
    325
  • To page
    0
  • Abstract
    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.
  • Keywords
    Non-stationary time series , Granger causality , Spurious causality
  • Journal title
    Economics Letters
  • Serial Year
    2001
  • Journal title
    Economics Letters
  • Record number

    21815

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=21815