Bayesian Analysis of Long Memory and Persistence using ARFIMA Models

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.

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Year of publication:	1995-05-24
Authors:	Koop, Gary
Institutions:	University of Toronto, Department of Economics
Subject:	Fractionally Integrated Models \| Impulse Responses \| Time Series \| Trend Stationarity \| Unit Root

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Extent:	application/postscript
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	25 pages
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005771695