Effect of the order of fractional integration on impulse responses
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DOI: 10.1016/j.econlet.2014.09.010
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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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