## ABSTRACT This paper focuses on the contemporaneous aggregation of moving average processes. It is shown that aggregating across second (or first)βorder (integrated) moving average processes leads to a macro process whose parameters are exact functions of the parameters of its generation process.
The comparative forecast performance of univariate and multivariate models: an application to real interest rate forecasting
β Scribed by Prasad V Bidarkota
- Book ID
- 114175047
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 150 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0169-2070
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