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Long memory processes and fractional integration in econometrics. (English) Zbl 0854.62099
Summary: This paper provides a survey and review of the major econometric work on long memory processes, fractional integration, and their applications in economics and finance. Some of the definitions of long memory are reviewed, together with previous work in other disciplines. Section 3 describes the population characteristics of various long memory processes in the mean, including ARFIMA. Section 4 is concerned with estimation and examines semiparametric procedures in both the frequency and time domain, and also the properties of various regression based and maximum likelihood techniques. Long memory volatility processes are discussed in Section 5, while Section 6 discusses applications in economics and finance. The paper also has a concluding section.

MSC:
62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84 Economic time series analysis
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