Time series properties of aggregated AR(2) processes

被引：3

作者：

Chong, TTL ^{[1
]}

Wong, KT ^{[1
]}

机构：

[1] Chinese Univ Hong Kong, Dept Econ, Sha Tin, Hong Kong, Peoples R China

来源：

ECONOMICS LETTERS | 2001年 / 73卷 / 03期

关键词：

aggregation; long memory; polar form;

D O I：

10.1016/S0165-1765(01)00504-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2001 Elsevier Science BY All rights reserved.

引用

页码：325 / 332

页数：8

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