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Modelling memory of economic and financial time series

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, 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)
Official URL:
Additional Information: © 2005 Peter M Robinson
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Date Deposited: 27 Apr 2007
Last Modified: 16 May 2024 11:36

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