Long Memory and Aggregation in Macroeconomic Time Series
研究长记忆与加总的相互作用，推导加总序列与底层序列的积分阶数关系，并用英国六组宏观经济数据检验理论，发现半参数方法基本符合理论，但全参数ARFIMA模型差异较大。
This paper explores the interaction between long memory and aggregation. Results are derived which link the (possibly fractional) orders of integration of the aggregate series with those of the underlying series when the aggregation is either cross-sectional or temporal (in discrete or continuous time). These results provide empirically testable hypotheses which are examined using six U.K. macroeconomic series. A semiparametric method is found to be broadly consistent with the implications of the theory, but fully parametric ARFIMA models show considerable variation. Each series appears to be integrated of an order of between one and one-and-a-half.