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How can we define the concept of long memory ? An econometric survey

  • Dominique Guegan

    ()

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - CNRS - Centre National de la Recherche Scientifique - UP8 - Université Paris 8, Vincennes-Saint-Denis - UPOND - Université Paris Ouest Nanterre La Défense - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Panthéon-Sorbonne)

In this paper we discuss different aspects of long memory behaviorand applicable parametric models. We discuss the confusion thatcan arise when the empirical autocorrelation function decreasesin an hyperbolic way.

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Paper provided by HAL in its series Post-Print with number halshs-00179343.

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Date of creation: 2005
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Publication status: Published in : Econometric Reviews,, 2005, 24 (2), pp.113 - 149
Handle: RePEc:hal:journl:halshs-00179343
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