Effect of the order of fractional integration on impulse responses
From MaRDI portal
Publication:2345166
DOI10.1016/j.econlet.2014.09.010zbMath1311.62145MaRDI QIDQ2345166
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
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
Cites Work
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- Impulse responses of antipersistent processes
- Long memory processes and fractional integration in econometrics
- IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Are Output Fluctuations Transitory?