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Effect of the order of fractional integration on impulse responses

Uwe Hassler and Mehdi Hosseinkouchack ()

Economics Letters, 2014, vol. 125, issue 2, 311-314

Abstract: For a fractional time series model integrated of order d we derive two results. First, it is obtained how a change in d affects the coefficients of the integration filter. For long memory (d>0), the effect is always positive; in the case of anti-persistence (d<0) the effect may be positive or negative depending on d. Second, those results are extended to the sequence of autocorrelations for fractionally integrated noise.

Keywords: Long memory; Anti-persistence; Decay of autocorrelation (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.econlet.2014.09.010

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