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Bayesian Analysis of Long Memory and Persistence using ARFIMA Models

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  • KOOP , Gary
  • LEY , Eduardo
  • OSIEWALSKI , Jacek
  • STEEL , Mark

Abstract

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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Suggested Citation

  • KOOP , Gary & LEY , Eduardo & OSIEWALSKI , Jacek & STEEL , Mark, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," LIDAM Discussion Papers CORE 1995035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:1995035
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    References listed on IDEAS

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    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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