Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation
Published in Econometrics, 2021
Recommended citation: Vera-Valdés, J.E. (2021). "Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation." Econometrics. 9(39). https://www.mdpi.com/2225-1146/9/4/39
This paper uses aggregation as inspiration to develop a model to generate long-range dependent processes that does not depend on the fractional difference operator. Our model thus circumvents Grangers concern that the fractional difference operator is in the empty box of models that do not arise in the actual economy. Moreover, we show that the generated processes are less brittle than fractionally integrated processes.