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Effect of the order of fractional integration on impulse responses

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  • Hassler, Uwe
  • Hosseinkouchack, Mehdi

Abstract

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.

Suggested Citation

  • Hassler, Uwe & Hosseinkouchack, Mehdi, 2014. "Effect of the order of fractional integration on impulse responses," Economics Letters, Elsevier, vol. 125(2), pages 311-314.
    • Handle: RePEc:eee:ecolet:v:125:y:2014:i:2:p:311-314
    DOI: 10.1016/j.econlet.2014.09.010
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    References listed on IDEAS

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    More about this item

    Keywords

    Long memory; Anti-persistence; Decay of autocorrelation;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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