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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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File URL: http://www.tandfonline.com/doi/abs/10.1081/ETC-200067887
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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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  15. Smith, Aaron, 2005. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 321-335, July.
  16. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(01), pages 3-22, February.
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  18. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
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  25. Avouyi-Dovi, S. & Guégan, D. & Ladoucette, S., 2002. "Une mesure de la persistance dans les indices boursiers," Working papers 94, Banque de France.
  26. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  27. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423.
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  29. Clive W.J. Granger & Namwon Hyung, 2013. "Occasional Structural Breaks and Long Memory," Annals of Economics and Finance, Society for AEF, vol. 14(2), pages 739-764, November.
  30. Jerome J Collet & Dominique Guegan, 2004. "Another Characterization of Long Memory Behavior," Econometric Society 2004 Australasian Meetings 359, Econometric Society.
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