HIGHLIGHTS
- who: J. Eduardo Vera-Valdés from the Department of Mathematical Sciences, Aalborg University, Skjernvej A, Aalborg, Denmark have published the paper: Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation, in the Journal: Econometrics 2021, 9, 39. of /2021/
- what: As an application, the authors show that the authors can use the extra flexibility of the cross-sectionally aggregated process to approximate a process generated using the fractional difference operator. The paper showed that the lack of antipersistence has implications for long-range dependence estimators in the frequency domain, which will be misspecified.
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