A Note on Long Memory Time Series

Claude Diebolt and Vivien Guiraud
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Vivien Guiraud: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Abstract: This note presents the fractional integrated processes which are the main models used to describe long memory phenomena. Section 1 briefly defines the concept of fractional integration, shows the fundamental properties and provides a short summary of the estimation methods. Section 2 consists of a survey of their extensions in order to model long-term cycles.

Keywords: Cliometrics; Fractional integration; Long memory (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

Published in Quality and Quantity, 2005, 39, pp.827-836. ⟨10.1007/s11135-004-0436-z⟩

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Journal Article: A Note On Long Memory Time Series (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00278694

DOI: 10.1007/s11135-004-0436-z

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