Evidence of long memory in short-term in
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Nigel Meade; Margaret R. Maier
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Article
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2003
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John Wiley and Sons
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English
β 129 KB
π 2 views
## Abstract The issues of nonβstationarity and long memory of real interest rates are examined here. Autoregressive models allowing shortβterm mean reversion are compared with fractional integration models in terms of their ability to explain the behaviour of the data and to forecast outβofβsample.