Bayesian analysis of long memory and persistence using ARFIMA models

DOI10.1016/0304-4076(95)01787-9zbMath0873.62091OpenAlexW2568478090MaRDI QIDQ1362033

Mark F. J. Steel, Jacek Osiewalski, Gary Koop, Eduardo Ley

Publication date: 4 November 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01787-9

zbMATH Keywords

time seriesunit rootmodel uncertaintyimpulse responsestrend stationarityARFIMA modelsARIMA alternativesautoregressive fractionally integrated moving average modelsreal U.S. GNP

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items

Long memory and nonlinearities in realized volatility: a Markov switching approach ⋮ Bayesian inference for a mixture double autoregressive model ⋮ Bayesian estimation of fractional difference parameter in ARFIMA models and its application ⋮ Data analysis using regression models with missing observations and long-memory: an application study ⋮ Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models ⋮ Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes ⋮ BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL ⋮ Indirect estimation of ARFIMA and VARFIMA models ⋮ Bayesian Inference for ARFIMA Models ⋮ First-order bias correction for fractionally integrated time series ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors

Uses Software

• longmemo

Cites Work

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