Flexible Seasonal Long Memory and Economic Time Series
AbstractWe discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing.We suggest periodogram regression and approximate ML estimation.We successfully apply a flexible model on post war US GNP data, which shows the statistical significance of seasonal 'overdifferencing' due to seasonal adjustment.Application to monthly shipping data for the Sound (1557-1783) shows the order of integration at frequency 0 and 1/12 about 0.5, with lower values at other frequencies.We use several graphical techniques to evaluate the estimation results in thefrequency domain.
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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 9515-/A.
Date of creation: 01 Jan 1995
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seasonality; seasonal adjustment; unit roots; fractional integration; long memory; frequency domain estimation;
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