BAYESIAN-ANALYSIS OF LONG MEMORY AND PERSISTENCE USING ARFIMA MODELS

Authors
KOOP G LEY E OSIEWALSKI J STEEL MFJ
Citation
G. Koop et al., BAYESIAN-ANALYSIS OF LONG MEMORY AND PERSISTENCE USING ARFIMA MODELS, Journal of econometrics, 76(1-2), 1997, pp. 149-169
Citations number
41
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Mathematics, Miscellaneous
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
76
Issue
1-2
Year of publication
1997
Pages
149 - 169
Database
ISI
SICI code
0304-4076(1997)76:1-2<149:BOLMAP>2.0.ZU;2-D
Abstract
This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. We discuss in detail infer ence on impulse responses, and show how Bayesian methods can be used t o (i) test ARFIMA models against ARIMA alternatives and (ii) take mode l uncertainty into account when making inferences on quantities of int erest. Our methods are then used to investigate the persistence proper ties of real U.S. GNP.