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Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: A Monte-Carlo study
(2004)
For a fractionally integrated ARFIMA(p, d, q) model, temporal aggregation changes the order of the process to an ARFIMA(p, d,∞), while leaving the value of d unchanged. This paper analyses the effects of temporal aggregation ...
Missing aggregate dynamics: on the slow convergence of lumpy adjustment models
(Universidad de Chile, Facultad de Economía y Negocios, 2015-11)
When microeconomic adjustment is lumpy, the VAR-estimated persistence of the corresponding
aggregated variable is downward biased. The extent of this bias decreases with the level of aggregation,
yet convergence is very ...
Computational complexity of biased diffusion-limited aggregation
(Siam, 2022)
Diffusion-Limited Aggregation (DLA) is a cluster-growth model that consists in a set of particles that are sequentially aggregated over a two-dimensional grid. In this paper, we introduce a biased version of the DLA model, ...
Procyclical Productivity in Manufacturing
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2006)
Compositional analysis for an unbiased measure of soil aggregation
(Elsevier B.V., 2012-06-01)
Soil aggregation is an index of soil structure measured by mean weight diameter (MWD) or scaling factors often interpreted as fragmentation fractal dimensions (D-f). However, the MWD provides a biased estimate of soil ...
Compositional analysis for an unbiased measure of soil aggregation
(Elsevier B.V., 2012-06-01)
Soil aggregation is an index of soil structure measured by mean weight diameter (MWD) or scaling factors often interpreted as fragmentation fractal dimensions (D-f). However, the MWD provides a biased estimate of soil ...
Spectral properties of temporally aggregated long memory processes
(Escola de Pós-Graduação em Economia da FGV, 2003-10-23)
This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise ...