EconPapers    
Economics at your fingertips  
 

Bayesian Analysis of Long Memory and Persistence using ARFIMA Models

Gary Koop ()

Working Papers from University of Toronto, Department of Economics

Abstract: This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. We discuss in detail inference on impulse responses, and show how Bayesian methods can be used to (i) test ARFIMA models against ARIMA alternatives, and (ii) take model uncertainty into account when making inferences on quantities of interest. Our methods are then used to investigate the persistence properties of real U.S. GNP.

Keywords: Fractionally Integrated Models; Impulse Responses; Time Series; Trend Stationarity; Unit Root (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1995-05-24
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.economics.utoronto.ca/public/workingPapers/UT-ECIPA-GKOOP-95-01.ps MainText (application/postscript)

Related works:
Working Paper: Bayesian Analysis of Long Memory and Persistence using ARFIMA Models (2004) Downloads
Journal Article: Bayesian analysis of long memory and persistence using ARFIMA models (1997) Downloads
Working Paper: Bayesian analysis of long memory and persistence using ARFIMA models (1997) Downloads
Working Paper: Bayesian Analysis of Long Memory and Persistence using ARFIMA Models (1995) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tor:tecipa:gkoop-95-01

Access Statistics for this paper

More papers in Working Papers from University of Toronto, Department of Economics 150 St. George Street, Toronto, Ontario.
Bibliographic data for series maintained by RePEc Maintainer ().

 
Page updated 2022-10-08
Handle: RePEc:tor:tecipa:gkoop-95-01