Effect of the order of fractional integration on impulse responses

C-Tier
Journal: Economics Letters
Year: 2014
Volume: 125
Issue: 2
Pages: 311-314

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

For a fractional time series model integrated of order d we derive two results. First, it is obtained how a change in d affects the coefficients of the integration filter. For long memory (d>0), the effect is always positive; in the case of anti-persistence (d<0) the effect may be positive or negative depending on d. Second, those results are extended to the sequence of autocorrelations for fractionally integrated noise.

Technical Details

RePEc Handle
repec:eee:ecolet:v:125:y:2014:i:2:p:311-314
Journal Field
General
Author Count
2
Added to Database
2026-01-25