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| Author: | Parke, W. |
| Title: | What is fractional integration? |
| Journal: | Review of Economics and Statistics
1999 : NOV, VOL. 81:4, p. 632-638 |
| Index terms: | STATISTICS ECONOMICS REVIEW |
| Language: | eng |
| Abstract: | A simple construction that will be referred to as error-duration model is shown to generate fractional integration and long memory. An error-duration representation also exists for many familiar ARMA models, making error duration an alternative to autoregression for explaining dynamic persistence in economic variables. The results lead to a straightforward procedure for simulating fractional integration and establish a connection between fractional integration and common notions of structural change. |
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