IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY

DOI10.1017/S0266466610000216zbMath1230.62118OpenAlexW2155896691MaRDI QIDQ2995426

Uwe Hassler, Piotr S. Kokoszka

Publication date: 21 April 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466610000216

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? ⋮ Impulse responses of antipersistent processes ⋮ Statistical analysis of autoregressive fractionally integrated moving average models in R ⋮ Effect of the order of fractional integration on impulse responses

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