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Bayesian analysis of long memory and persistence using ARFIMA models

  • Koop, Gary
  • Ley, Eduardo
  • Osiewalski, Jacek
  • Steel, Mark F. J.

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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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 76 (1997)
Issue (Month): 1-2 ()
Pages: 149-169

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Handle: RePEc:eee:econom:v:76:y:1997:i:1-2:p:149-169
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
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  3. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-12, January.
  4. Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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  8. Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
  9. Granger, C. W. J. & Andersen, Allan, 1978. "On the invertibility of time series models," Stochastic Processes and their Applications, Elsevier, vol. 8(1), pages 87-92, November.
  10. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
  11. Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March.
  12. Baillie, R. & Chung, C. & Tieslau, M., 1992. "The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis," Discussion Paper 1992-46, Tilburg University, Center for Economic Research.
  13. 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.
  14. Erhard Reschenhofer & Benedikt M. Pötscher & Michael A. Hauser, 1999. "Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures," Empirical Economics, Springer, vol. 24(2), pages 243-269.
  15. Tieslau, M. & Schmidt, P. & Baillie, R., 1992. "A Generalized Method of Moments Estimator for Long-Memory Processes," Discussion Paper 1992-47, Tilburg University, Center for Economic Research.
  16. Tieslau, M.A. & Schmidt, P. & Baillie, R.T., 1992. "A Generalized Method of Moments Estimator for Long-Memory Processes," Papers 9247, Tilburg - Center for Economic Research.
  17. Baillie, R.T. & Chung, C,F. & Tieslau, M.A., 1992. "The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis," Papers 9246, Tilburg - Center for Economic Research.
  18. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  19. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
  20. Yin-Wong Cheung & Francis X. Diebold, 1993. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Working Papers 93-5, Federal Reserve Bank of Philadelphia.
  21. 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.
  22. Diebold, Francis X & Rudebusch, Glenn D, 1991. "Is Consumption Too Smooth? Long Memory and the Deaton Paradox," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 1-9, February.
  23. Beveridge, Steve & Oickle, Cyril, 1993. "Estimating fractionally integrated time series models," Economics Letters, Elsevier, vol. 43(2), pages 137-142.
  24. 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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