Time series properties of aggregated AR(2) processes

Authors
Chong, TTL Wong, KT
Citation
Ttl. Chong et Kt. Wong, Time series properties of aggregated AR(2) processes, ECON LETT, 73(3), 2001, pp. 325-332
Citations number
5
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
73
Issue
3
Year of publication
2001
Pages
325 - 332
Database
ISI
SICI code
0165-1765(200112)73:3<325:TSPOAA>2.0.ZU;2-1
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 c lass of long memory process. (C) 2001 Elsevier Science BY All rights reserv ed.