Do Long-Memory Models Have Long Memory?

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.

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Year of publication:	1998-02-27
Authors:	Andersson, Michael K.
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	ARMA \| Fractional integration \| Prediction horizon

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Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in International Journal of Forecasting, 2000, pages 121-124. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 227 4 pages
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005190887