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Time series modelling of sunspot numbers using long range cyclical dependence

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  • Luis A. Gil-Alana

    ()
    (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

Abstract

This paper deals with the analysis of the monthly structure of sunspot numbers using a new technique based on cyclical long range dependence. The results show that sunspot numbers have a periodicity of 130 months, but more importantly, that the series is highly persistent, with an order of cyclical fractional integration slightly above 0.30. That means that the series displays long memory, with a large degree of dependence between the observations that tends to disappear very slowly in time

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File URL: http://www.unav.es/facultad/econom/files/workingpapersmodule/@random497080f7805d2/1257096375_WP_UNAV_06_09.pdf
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Bibliographic Info

Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 06/09.

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Length: 23 pages
Date of creation: 01 Nov 2009
Date of revision:
Publication status: Published in Solar Physics 257 (2), 371-281 (2009)
Handle: RePEc:una:unccee:wp0609

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Web page: http://www.unav.es/facultad/econom

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  1. Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, vol. 73(1), pages 237-259, July.
  2. L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
  3. Ferrara, Laurent & Guegan, Dominique, 2001. "Forecasting with k-Factor Gegenbauer Processes: Theory and Applications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(8), pages 581-601, December.
  4. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  5. Violetta Dalla & Javier Hidalgo, 2005. "A Parametric Bootstrap Test for Cycles," STICERD - Econometrics Paper Series /2005/486, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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Cited by:
  1. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Shittu, Olanrewaju I., 2014. "Global temperatures and sunspot numbers. Are they related?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 42-50.

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