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A Note on Long Memory Time Series

Author

Listed:
  • Claude Diebolt

    (BETA - Bureau d'Économie Théorique et Appliquée - INRA - Institut National de la Recherche Agronomique - UNISTRA - Université de Strasbourg - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique)

  • Vivien Guiraud

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

This note presents the fractional integrated processes which are the main models used to describe long memory phenomena. Section 1 briefly defines the concept of fractional integration, shows the fundamental properties and provides a short summary of the estimation methods. Section 2 consists of a survey of their extensions in order to model long-term cycles.

Suggested Citation

  • Claude Diebolt & Vivien Guiraud, 2005. "A Note on Long Memory Time Series," Post-Print hal-00278694, HAL.
    • Handle: RePEc:hal:journl:hal-00278694
    DOI: 10.1007/s11135-004-0436-z
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    Cited by:

    1. Claude Diebolt & Karine Pellier, 2008. "Analyse spectrale de l’évolution de longue période des brevets en France, en Allemagne, en Grande-Bretagne, aux Etats-Unis et au Japon (17ème-20ème siècles)," Working Papers 08-09, Association Française de Cliométrie (AFC).
    2. ERER, Deniz & ERER, Elif & GÜLEÇ, Tuna Can, 2016. "Fractional Cointegration Analysis Of Stock Market And Exchange Rates: The Case Of Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(3), pages 80-94.
    3. Roy Cerqueti & Giulia Rotundo, 2015. "A review of aggregation techniques for agent-based models: understanding the presence of long-term memory," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1693-1717, July.
    4. Claude Diebolt & Cédric Doliger, 2008. "New international evidence on the cyclical behaviour of output: Kuznets swings reconsidered," Quality & Quantity: International Journal of Methodology, Springer, vol. 42(6), pages 719-737, December.
    5. Mansour Zarra-Nezhad & Ali Raoofi & Mohammad Hadi Akbarzdeh, 2016. "The Existence of Long Memory Property in OPEC Oil Prices," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 4(3), pages 142-152, September.

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