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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 : UMR8533 - Université Panthéon-Sorbonne - Paris I - Université Paris VIII Vincennes-Saint Denis - Université de Paris X - Nanterre - École normale supérieure de Cachan - ENS Cachan)

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
Date of revision:
Publication status: Published, : Econometric Reviews,, 2005, 24, 2, 113 - 149
Handle: RePEc:hal:journl:halshs-00179343
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