Hassler, Uwe; Hosseinkouchack, Mehdi - In: Economics Letters 125 (2014) 2, pp. 311-314
For a fractional time series model integrated of order d we derive two results. First, it is obtained how a change in d affects the coefficients of the integration filter. For long memory (d0), the effect is always positive; in the case of anti-persistence (d0) the effect may be positive or...