Effect of the order of fractional integration on impulse responses

DOI10.1016/J.ECONLET.2014.09.010MaRDI QIDQ2345166zbMATH OpenOpenAlexFDO

Authors Uwe Hassler, Mehdi Hosseinkouchack

Publication date 19 May 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.09.010

zbMATH Keywords

long memoryanti-persistencedecay of autocorrelation

Mathematics Subject Classification ID

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

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• scientific article; zbMATH DE number 3982353

Cites work

• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Are output fluctuations transitory?
• Fractional differencing
• Impulse responses of antipersistent processes
• Impulse responses of fractionally integrated processes with long memory
• Long memory processes and fractional integration in econometrics

Cited in

(3)

• Analytical impulse response of a fractional second order filter and its impulse response invariant discretization
• Description of the Impulse Response in Rods by Fractional Derivatives
• Impulse responses of fractionally integrated processes with long memory

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