Robinson, Peter (2005) Modelling memory of economic and financial time series. Econometrics; EM/2005/487, EM/05/487. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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Much time series data are recorded on economic and financial variables. Statistical modelling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from the viewpoint of ‘memory’, or strength of dependence across time, which is a helpful discriminator between different phenomena of interest. Both linear and nonlinear models are discussed.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2005 Peter M Robinson|
|Uncontrolled Keywords:||Long memory; short memory; stochastic volatility|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models|
|Sets:||Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
|Date Deposited:||27 Apr 2007|
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