Impulse responses of antipersistent processes

Uwe Hassler

Economics Letters, 2012, vol. 116, issue 3, 454-456

Abstract: The behavior of impulse response coefficients as persistence measures is discussed under fractional integration. Results for long memory processes are extended to the antipersistent case of short memory.

Keywords: Fractional integration; Short memory; Persistence (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:454-456

DOI: 10.1016/j.econlet.2012.04.023

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