Several semiparametric estimates of the memory parameter in standard long memory time series are now available. They consider only local behaviour of the spectrum near zero frequency, about which the spectrum is symmetric. However, long-range dependence can appear as a spectral pole at any Nyqvist frequency (reflecting seasonal or cyclical long memory), where the spectrym need display no such symmetry. We introduce Seasonal/Cyclical Asymmetric Long Memory (SCALM) processes that allow differing rates of increase on either side of such a pole. To estimate the two consequent memory parameters we extend two semiparametric methods that were proposed for the standard case of a spectrum diverging at the origin, namely the log-periodogram and Gaussian or Whittle methods. We also provide three tests of symmetry. Monte Carlo analysis of finite sample behaviour and an empirical application to UK inflation data are included. Our models and methods allow also for the posssibility of negative dependence, described by a possibly asymmetric spectral zero.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number
/1998/359.
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
Did you know? Each page is provided with a technical contact, in case something is not right with the supplied information. See under "publisher info".