Calculating and analyzing impulse responses for the vector ARFIMA model.

DOI10.1016/S0165-1765(00)00399-2zbMath1080.62534OpenAlexW2138744489MaRDI QIDQ5940890

Ching-Fan Chung

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00399-2

zbMATH Keywords

Generating functionsImpulse responsesSlow changing ratesThe VARFIMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Testing for long memory in the Asian foreign exchange rates ⋮ Long- versus medium-run identification in fractionally integrated VAR models ⋮ Computationally efficient methods for two multivariate fractionally integrated models ⋮ Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions

Cites Work

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• Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
• Fractional differencing
• ON GENERALIZED FRACTIONAL PROCESSES
• A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS

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