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Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation

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0 Published in 2021 at "Econometrics"

DOI: 10.3390/econometrics9040039

Abstract: This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated… read more here.

Keywords: aggregation; range; range dependence; nonfractional long ... See more keywords