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Long Memory and Hysteresis

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Long Memory in Economics

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Summary

The aim of this chapter is to determine whether the hysteretic series can be confused with long memory series, since the hysteretic effect is a persistence in the series like the long memory effect.

Nevertheless, the long term behavior of the hysteretic series is very different from the long term behavior of the long memory series: the hysteretic series are not mean reverting whereas the long memory series are (if correctly differencied). Since the mean reverting property is crucial for many economic models for checking the stability of equilibria, distinguishing between hysteresis and long memory is very important. This difference is due to the fact that hysteresis models have in fact a short memory, since dominant shocks erase the memory of the series, and the persistence is due to permanent and nonreverting state changes at a microstructure level. For checking whether hysteretic series can display long memory property, a model possessing the hysteresis property is used for simulating hysteretic data. Statistical tests for short memory against long memory alternatives are applied to these simulated data.

I thank very much Alan P. Kirman (University of Aix Marseille III - EHESS) for giving me the opportunity to submit this paper for publication in this book. I thank very much Gilles Teyssiére (SAMOS) for his useful comments. I thank very much Carole Siani (INSERM U379 - University of Aix-Marseille II) for encouraging me to continue my research in this way and for her careful reading. I thank very much Dany Lang (CEDERS - University of Aix-Marseille II) for having shown me the existence of the hysteresis effect.

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Authors and Affiliations

  1. Department of Economics, Finance, and International Business, London Metropolitan University, London

    Christian de Peretti

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  1. Christian de Peretti
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Editors and Affiliations

  1. Laboratoire de Statistique Appliquée et de Modélisation Stochastique (SAMOS), Panthéon Sorbonne, Centre Pierre Mendès, Université Paris 1, 90 rue de Tolbiac, 75634, Paris Cedex 13, France

    Gilles Teyssière

  2. L’Ecole des Hautes Etudes en Sciences Sociales (EHESS), Université Aix-Marseille III, 2 rue de la Charité, 13002, Marseille, France

    Alan P. Kirman

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de Peretti, C. (2007). Long Memory and Hysteresis. In: Teyssière, G., Kirman, A.P. (eds) Long Memory in Economics. Springer, Berlin, Heidelberg . https://doi.org/10.1007/978-3-540-34625-8_13

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