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Impulse Responses Of Fractionally Integrated Processes With Long Memory

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  • Hassler, Uwe
  • Kokoszka, Piotr

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 26 (2010)
Issue (Month): 06 (December)
Pages: 1855-1861

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Handle: RePEc:cup:etheor:v:26:y:2010:i:06:p:1855-1861_00

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Cited by:
  1. Javier Contreras-Reyes & Wilfredo Palma, 2013. "Statistical analysis of autoregressive fractionally integrated moving average models in R," Computational Statistics, Springer, vol. 28(5), pages 2309-2331, October.
  2. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
  3. Hassler, Uwe, 2012. "Impulse responses of antipersistent processes," Economics Letters, Elsevier, vol. 116(3), pages 454-456.
  4. Uwe Hassler & Antonio Rubia & Paulo M.M. Rodrigues, 2014. "Persistence in the Banking Industry: Fractional integration and breaks in memory," Working Papers w201406, Banco de Portugal, Economics and Research Department.

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