What is Fractional Integration
Bibliographic Data
| ID | 19318396 |
|---|---|
| Authors | William R Parke (University of North Carolina at Chapel Hill, corresponding author) |
| Year | 1999 |
| Volume | 81 |
| Issue | 4 |
| Pages | 632-638 |
| Publication date | 1999-11-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | The Review of Economics and Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0034-6535 • E-ISSN: 1530-9142 |
| Publisher | MIT Press - Journals (PUBLISHER) |
| DOI | 10.1162/003465399558490 |
| OpenAlex | W2068493768 |
| Language | EN |
| Citations received | 9 |
| References cited | 17 |
A simple construction that will be referred to as an error-duration model is shown to generate fractional integration and long memory. An error-duration representation also exists for many familiar ARMA models, making error duration an alternative to autoregression for explaining dynamic persistence in economic variables. The results lead to a straightforward procedure for simulating fractional integration and establish a connection between fractional integration and common notions of structural change. Two examples show how the error-duration model could account for fractional integration in aggregate employment and in asset price volatility
Aggregate (composite) · Asset (computer security) · Duration (music) · Econometrics · Economics · Representation (politics) · Volatility (finance) · Complex Systems and Time Series Analysis · Computer Science · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
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| Citations per year | 0.41 |
|---|---|
| Citation span | 2004 - 2025 (22) |
| Highly cited | No |