Reschenhofer, Erhard; Pötscher, Benedikt M.; Hauser, … - In: Empirical Economics 24 (1999) 2, pp. 243-269
Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of...
