A Note on Long Memory Time Series

Claude Diebolt (1) , Vivien Guiraud (2)

1 BETA - Bureau d'Économie Théorique et Appliquée
2 EconomiX - EconomiX

This note presents the fractional integrated processes which are the main models used to describe long memory phenomena. Section 1 briefly defines the concept of fractional integration, shows the fundamental properties and provides a short summary of the estimation methods. Section 2 consists of a survey of their extensions in order to model long-term cycles.

Mots clés: Cliometrics; Fractional integration; Long memory

Domaines: Economies et finances

Claude Diebolt, Vivien Guiraud. A Note on Long Memory Time Series. Quality and Quantity, 2005, 39, pp.827-836. ⟨10.1007/s11135-004-0436-z⟩. ⟨hal-00278694⟩