Hassler, Uwe; Kokoszka, Piotr - In: Econometric Theory 26 (2010) 06, pp. 1855-1861
Fractionally integrated time series, which have become an important modeling tool over the last two decades, are obtained by applying the fractional filter <inline-graphic>null</inline-graphic> to a weakly dependent (short memory) sequence. Weakly dependent sequences are characterized by absolutely summable impulse response...