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Nonfractional long-range dependence : long memory, antipersistence, and aggregation

Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 4, pp. 1-18

This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in …

Persistent link: https://www.econbiz.de/10012697497

Temperature anomalies, long memory, and aggregation

Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 1/9, pp. 1-22

-sectional aggregation. Nonetheless, formal analysis regarding the effect that aggregation has on the long memory dynamics of temperature … aggregation may be exacerbating the long memory estimated in regional and global temperature data. The results are robust to the …

Persistent link: https://www.econbiz.de/10012483296

Weigh(t)ing the basket : aggregate and component-based inflation forecasts for the euro area

Chalmovianský, Jakub; Porqueddu, Mario; Sokol, Andrej - 2020

We compare direct forecasts of HICP and HICP excluding energy and food in the euro area and five member countries to aggregated forecasts of their main components from large Bayesian VARs with a shared set of predictors. We focus on conditional point and density forecasts, in line with...