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Econometrics Paper
Modelling Memory of Economic and Financial Time Series
Peter M Robinson
March 2005
Paper No' EM/2005/487:
Full Paper (pdf)

JEL Classification: C22

Tags: long memory; short memory; stochastic volatility

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.