Calculating and analyzing impulse responses for the vector ARFIMA model

Authors
Chung, CF
Citation
Cf. Chung, Calculating and analyzing impulse responses for the vector ARFIMA model, ECON LETT, 71(1), 2001, pp. 17-25
Citations number
21
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
71
Issue
1
Year of publication
2001
Pages
17 - 25
Database
ISI
SICI code
0165-1765(200104)71:1<17:CAAIRF>2.0.ZU;2-6
Abstract
We use the technique of finite-order generating functions to examine impuls e responses of the vector fractionally integrated autoregressive moving-ave rage model. We show that impulse responses and their asymptotic variances o f such a model evolve at the slow hyperbolic rates. (C) 2001 Elsevier Scien ce B.V. All rights reserved.