Do Long-Memory Models Have Long Memory?
This paper examines the predictability memory of fractionally integrated ARMA processes. Very long memory is found for positively fractionally integrated processes with large positive AR parameters. However, negative AR parameters absorb, to a great extent, the memory generated by a positive fractional difference. An MA parameter may also reduce the predictability memory substantially, even if the parameter alone provides hardly any memory.
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|Date of creation:||27 Feb 1998|
|Date of revision:||16 Mar 2000|
|Publication status:||Published in International Journal of Forecasting, 2000, pages 121-124.|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
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