Impulse responses of antipersistent processes

The behavior of impulse response coefficients as persistence measures is discussed under fractional integration. Results for long memory processes are extended to the antipersistent case of short memory.

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Year of publication:	2012
Authors:	Hassler, Uwe
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 454-456
Publisher:	Elsevier
Subject:	Fractional integration \| Short memory \| Persistence

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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/10010594207