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How can we Define the Concept of Long Memory? An Econometric Survey

In this paper we discuss different aspects of long memory behavior and applicable parametric models. We discuss the confusion that can arise when the empirical autocorrelation function decreases in a hyperbolic way.

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Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 24 (2005)
Issue (Month): 2 ()
Pages: 113-149

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Handle: RePEc:taf:emetrv:v:24:y:2005:i:2:p:113-149
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