Effect of the order of fractional integration on impulse responses
Uwe Hassler and
Mehdi Hosseinkouchack ()
Economics Letters, 2014, vol. 125, issue 2, 311-314
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:2:p:311-314
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().