Do long-memory models have long memory?

International Journal of Forecasting

Volumn 16, Issue 1, 2000, Pages 121-124

  Andersson, Michael K ^a  

^a Natl Institute of Economic Research   (Sweden)

Author keywords

ARMA; Fractional integration; Prediction horizon

Indexed keywords

EID: 0008736670     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(99)00040-0     Document Type: Article

References (5)

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3. Granger C.W.J., Newbold P. Forecasting economic time series. 2nd ed. 1986;Academic Press, San Diego, CA.
4. Hosking J.R.M. Fractional differencing. Biometrika. 68:1981;165-176.
5. Öller L.-E. How far can changes in business activity be forecasted? International Journal of Forecasting. 1:1985;135-141.