Abstract
ABSTRACTThe standard linear model where ut is generated from an ARFIMA process, is considered. The sensitivity of the predictor and sensitivity of variance estimates of the linear model to long memory are investigated by constructing the statistical measures BL/S and DL/S, respectively. BL/S and DL/S is interpreted as a sensitivity measure for the long‐memory process without the short‐memory effects. As an application, the memory characteristics of per capita GDP of 30 countries are investigated from the Maddison GDP dataset. It is found that per‐capita GDP exhibits long memory characteristics, and the long‐run growth estimates are sensitive to the long memory characteristics.
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