Effect of the order of fractional integration on impulse responses

For a fractional time series model integrated of order d we derive two results. First, it is obtained how a change in d affects the coefficients of the integration filter. For long memory (d>0), the effect is always positive; in the case of anti-persistence (d<0) the effect may be positive or negative depending on d. Second, those results are extended to the sequence of autocorrelations for fractionally integrated noise.

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Year of publication:	2014
Authors:	Hassler, Uwe ; Hosseinkouchack, Mehdi
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 2, p. 311-314
Publisher:	Elsevier
Subject:	Long memory \| Anti-persistence \| Decay of autocorrelation

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Type of publication:	Article
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011076561