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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

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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



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