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Bayesian Analysis of Long Memory and Persistence using ARFIMA Models

  • Gary Koop

    (Dept of Economics, University of Leicester, UK)

  • Eduardo Ley

    (IMF, Washington DC, USA)

  • Jacek Osiewalski

    (Academy of Economics, Krakow, Poland)

  • Mark F.J. Steel

    (Dept of Statistics, University of Warwick, UK)

This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. We discuss in detail inference on impulse responses, and show how Bayesian methods can be used to (i) test ARFIMA models against ARIMA alternatives, and (ii) take model uncertainty into account when making inferences on quantities of interest. Our methods are then used to investigate the persistence properties of real U.S. GNP.

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File URL: http://128.118.178.162/eps/em/papers/9505/9505001.pdf
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Paper provided by EconWPA in its series Econometrics with number 9505001.

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Date of creation: 24 May 1995
Date of revision: 11 Jul 1995
Handle: RePEc:wpa:wuwpem:9505001
Note: PDF replaced to display the graphics correctly. Published in The Journal of Econometrics, 76:1-2 (January), pages 149-170, 1997.
Contact details of provider: Web page: http://128.118.178.162

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  1. Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March.
  2. Yin-Wong Cheung & Francis X. Diebold, 1990. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Discussion Paper / Institute for Empirical Macroeconomics 34, Federal Reserve Bank of Minneapolis.
  3. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
  4. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  5. Campbell, John & Mankiw, Gregory, 1987. "Are Output Fluctuations Transitory?," Scholarly Articles 3122545, Harvard University Department of Economics.
  6. Osiewalski, Jacek & Steel, Mark F. J., 1993. "Robust bayesian inference in elliptical regression models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 345-363.
  7. Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
  8. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September.
  9. repec:dgr:kubcen:199246 is not listed on IDEAS
  10. Baillie, R. & Chung, C. & Tieslau, M., 1992. "The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis," Discussion Paper 1992-46, Tilburg University, Center for Economic Research.
  11. Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
  12. Erhard Reschenhofer & Benedikt M. Pötscher & Michael A. Hauser, 1999. "Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures," Empirical Economics, Springer, vol. 24(2), pages 243-269.
  13. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
  14. Beveridge, Steve & Oickle, Cyril, 1993. "Estimating fractionally integrated time series models," Economics Letters, Elsevier, vol. 43(2), pages 137-142.
  15. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
  16. Baillie, R.T. & Chung, C,F. & Tieslau, M.A., 1992. "The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis," Papers 9246, Tilburg - Center for Economic Research.
  17. Granger, C. W. J. & Andersen, Allan, 1978. "On the invertibility of time series models," Stochastic Processes and their Applications, Elsevier, vol. 8(1), pages 87-92, November.
  18. Tieslau, M.A. & Schmidt, P. & Baillie, R.T., 1992. "A Generalized Method of Moments Estimator for Long-Memory Processes," Papers 9100, Michigan State - Econometrics and Economic Theory.
  19. Diebold, Francis X & Rudebusch, Glenn D, 1991. "Is Consumption Too Smooth? Long Memory and the Deaton Paradox," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 1-9, February.
  20. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-12, January.
  21. Koop, Gary, 1991. "Intertemporal Properties of Real Output: A Bayesian Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 253-65, July.
  22. Koop, Gary & Osiewalski, Jacek & Steel, Mark F J, 1994. "Posterior Properties of Long-Run Impulse Responses," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 489-92, October.
  23. Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis.
  24. Tieslau, M. & Schmidt, P. & Baillie, R., 1992. "A Generalized Method of Moments Estimator for Long-Memory Processes," Discussion Paper 1992-47, Tilburg University, Center for Economic Research.
  25. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
  26. repec:dgr:kubcen:199247 is not listed on IDEAS
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