Do Long-Memory Models Have Long Memory?

Michael K. Andersson
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Michael K. Andersson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden

No 227, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper examines the predictability memory of fractionally integrated ARMA processes. Very long memory is found for positively fractionally integrated processes with large positive AR parameters. However, negative AR parameters absorb, to a great extent, the memory generated by a positive fractional difference. An MA parameter may also reduce the predictability memory substantially, even if the parameter alone provides hardly any memory.

Keywords: ARMA; Fractional integration; Prediction horizon (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Pages: 4 pages
Date: 1998-02-27, Revised 2000-03-16
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Citations: View citations in EconPapers (11)

Published in International Journal of Forecasting, 2000, pages 121-124.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0227

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