Effect of the order of fractional integration on impulse responses

DOI10.1016/J.ECONLET.2014.09.010zbMATH Open1311.62145OpenAlexW1992595371MaRDI QIDQ2345166FDOQ2345166

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

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• scientific article; zbMATH DE number 3982353

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)

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Title not available (Why is that?)
• Long memory processes and fractional integration in econometrics
• Are Output Fluctuations Transitory?
• IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY
• Impulse responses of antipersistent processes

Cited In (2)

• Description of the Impulse Response in Rods by Fractional Derivatives
• Analytical impulse response of a fractional second order filter and its impulse response invariant discretization

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