Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 227:
Do Long-Memory Models Have Long Memory?

Michael K. Andersson

Abstract: 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.

Keywords: ARMA; Fractional integration; Prediction horizon; (follow links to similar papers)

JEL-Codes: C22; C52; C53; (follow links to similar papers)

4 pages, February 27, 1998, Revised March 16, 2000

Download Statistics

This paper is published as:
Andersson, Michael K., (2000), 'Do Long-Memory Models Have Long Memory?', International Journal of Forecasting, Vol. 16, Jan-March, No. 1, pages 121-124

Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0227 This page was generated on 2014-12-14 19:22:54