We modeled long memory with just one lag!

DOI10.1016/J.JECONOM.2023.04.010MaRDI QIDQ6175544zbMATH OpenFDO

Authors Luc Bauwens, Guillaume Chevillon, Sébastien Laurent

Publication date 18 August 2023

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2023.04.010

zbMATH Keywords

Bayesian estimationforecastingridge regressionvector autoregressive model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• scientific article; zbMATH DE number 48318 (Why is no real title available?)
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• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Priors for the long run
• Refined Inference on Long Memory in Realized Volatility
• Testing Models of Low-Frequency Variability
• The detection and estimation of long memory in stochastic volatility
• The Model Confidence Set
• VAR forecasting under misspecification

Cited in

(2)

• Linear regression with weak exogeneity
• Ridge regularized estimation of VAR models for inference

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