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Bayesian Analysis of Long Memory and Persistence using ARFIMA Models

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Author Info

  • Gary Koop

    (Dept of Economics, University of Leicester, UK)

  • Eduardo Ley

    (IMF, Washington DC, USA)

  • Jacek Osiewalski

    (Academy of Economics, Krakow, Poland)

  • Mark F.J. Steel

    (Dept of Statistics, University of Warwick, UK)

Abstract

This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. We discuss in detail inference on impulse responses, and show how Bayesian methods can be used to (i) test ARFIMA models against ARIMA alternatives, and (ii) take model uncertainty into account when making inferences on quantities of interest. Our methods are then used to investigate the persistence properties of real U.S. GNP.

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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 9505001.

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Date of creation: 24 May 1995
Date of revision: 11 Jul 1995
Handle: RePEc:wpa:wuwpem:9505001

Note: PDF replaced to display the graphics correctly. Published in The Journal of Econometrics, 76:1-2 (January), pages 149-170, 1997.
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Web page: http://128.118.178.162

Related research

Keywords: Fractionally Integrated Models; Impulse Responses; Time Series; Trend Stationarity; Unit Root;

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References

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  1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
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  6. Koop, Gary & Osiewalski, Jacek & Steel, Mark F J, 1994. "Posterior Properties of Long-Run Impulse Responses," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 489-92, October.
  7. Cheung, Yin-Wong & Diebold, Francis X., 1994. "On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean," Journal of Econometrics, Elsevier, vol. 62(2), pages 301-316, June.
  8. Koop, Gary, 1991. "Intertemporal Properties of Real Output: A Bayesian Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 253-65, July.
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Citations

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Cited by:
  1. Iglesias, Pilar & Jorquera, Hector & Palma, Wilfredo, 2006. "Data analysis using regression models with missing observations and long-memory: an application study," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 2028-2043, April.
  2. Laura Mayoral, 2005. "The Persistence of Inflation in OECD Countries:a Fractionally Integrated Approach," Working Papers 259, Barcelona Graduate School of Economics.
  3. Martin, V.L. & Wilkins, N.P., 1997. "Indirect Estimation of Arfima and Varfima Models," Department of Economics - Working Papers Series 547, The University of Melbourne.
  4. Fuyu Yang, 2007. "Bayesian Analysis of Deterministic Time Trend and Changes in Persistence Using a Generalised Stochastic Unit Root Model," Discussion Papers in Economics 07/11, Department of Economics, University of Leicester.
  5. Laura Mayoral, 2005. "The persistence of inflation in OECD countries: A fractionally integrated approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
  6. O. Mikhail & C. J. Eberwein & J. Handa, 2006. "Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA," Applied Economics, Taylor and Francis Journals, vol. 38(15), pages 1809-1819.
  7. Enrique Moral-Benito, 2011. "Model averaging in economics," Banco de España Working Papers 1123, Banco de España.
  8. Panas, E., 2001. "Long memory and chaotic models of prices on the London Metal Exchange," Resources Policy, Elsevier, vol. 27(4), pages 235-246, December.
  9. M. Dolores Gadea & Laura Mayoral, 2009. "Aggregation is not the solution: the PPP puzzle strikes back," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 875-894.
  10. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, EconWPA.
  11. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 217-234.

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