2002 Reports
The long range dependence paradigm for macroeconomics and finance
The long range dependence paradigm appears to be a suitable description of the data generating process for many observed economic time series. This is mainly due to the fact that it naturally characterizes time series displaying a high degree of persistence, in the form of a long lasting effect of unanticipated shocks, yet exhibiting mean reversion. Whereas linear long range dependent time series models have been extensively used in macroeconomics, empirical evidence from financial time series prompted the development of nonlinear long range dependent time series models, in particular models of changing volatility. We discuss empirical evidence of long range dependence as well as the theoretical issues, both for economics and econometrics, such evidence has stimulated.
Subjects
Files
- econ_0102_19.pdf application/pdf 435 KB Download File
More About This Work
- Academic Units
- Economics
- Publisher
- Department of Economics, Columbia University
- Series
- Department of Economics Discussion Papers, 0102-19
- Published Here
- March 22, 2011
Notes
March 2002