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Books > Business & Economics > Economics > Econometrics
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Long Memory in Economics (Paperback, Softcover reprint of hardcover 1st ed. 2007)
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Long Memory in Economics (Paperback, Softcover reprint of hardcover 1st ed. 2007)
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Long-rangedependent, or long-memory, time seriesarestationarytime
series displaying a statistically signi?cant dependence between
very distant obs- vations. We formalize this dependence by assuming
that the autocorrelation function of these stationary series decays
very slowly, hyperbolically, as a function of the time lag. Many
economic series display these empirical features: volatility of
asset prices returns, future interest rates, etc. There is a huge
statistical literature on long-memory processes, some of this
research is highly technical, so that it is cited, but often
misused in the applied econometrics and empirical e- nomics
literature. The ?rst purpose of this book is to present in a formal
and pedagogical way some statistical methods for studying
long-range dependent processes. Furthermore, the occurrence of
long-memory in economic time series might be a statistical artefact
as the hyperbolic decay of the sample autoc- relation function does
not necessarily derive from long-range dependent p- cesses. Indeed,
the realizations of non-homogeneous processes, e.g., switching
regime and change-point processes, display the same empirical
features. We thus also present in this book recent statistical
methods able to discriminate between the long-memory and
change-point alternatives. Going beyond the purely statistical
analysis of economic series, it is of interest to determine which
economic mechanisms are generating the strong dependence properties
of economic series, whether they are genuine, or spu- ous. The
regularities of the long-memory and change-point properties across
economic time series, e.g., common degree of long-range dependence
and/or common change-points, suggest the existence of a common
economic cause
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