Faculty of Economics and Business Administration Publications Database

Effect of the order of fractional integration on impulse responses

Authors:
Source:
Volume: 125
Number: 2
Pages: 311 - 314
Month: November
ISSN-Print: 0165-1765
Link External Source: Online Version
Year: 2014
Keywords: Long memory; Anti-persistence; Decay of autocorrelation
Abstract:

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

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