Time series aggregation, disaggregation and long memory

Abstract

We study the aggregation/disaggregation problem of random parameter AR(1) processes and its relation to the long memory phenomenon. We give a characterization of a subclass of aggregated processes which can be obtained from simpler, "elementary", cases. In particular cases of the mixture densities, the structure (moving average representation) of the aggregated process is investigated.

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• Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
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• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite variance
• Estimating long memory in panel random-coefficient AR(1) data