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
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
Journal title :
Economics Letters
