This article aims at showing that a temporal aggregation and a specific bandwidth reduction lead to the same asymptotic properties in estimating long memory by Geweke and Porter-Hudak's [Journal of Time Series Analysis (1983) vol. 4, pp. 221-237] and Robinson's [Annals of Statistics (1995b) vol....

This note reviews some results on aggregating discrete-time long memory processes, providing a formula for the spectrum of the aggregates that considers the aliasing effect. Copyright 2005 by the Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And...

This article shows that, for large samples, temporally aggregating a true long memory time series (in order to get an improved estimator) may make little or no sense, as the practitioner can get virtually the same estimates as those from the aggregated series by choosing the appropriate...

This paper shows existence of approximate recursive equilibrium with minimal state space in an environment of incomplete markets. We prove that the approximate recursive equilibrium implements an approximate sequential equilibrium which is always close to a Magill and Quinzii equilibrium without...