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Long-range dependence in Spanish political opinion poll series

Author

Listed:
  • Laura Mayoral

    (Dept of Economics and Business, Universidad Pompeu Fabra, Spain)

  • Juan J. Dolado

    (Dept of Economics, Universidad Carlos III de Madrid, Spain)

  • Jesús Gonzalo

    (Dept of Statistics and Econometrics, Universidad Carlos III de Madrid, Spain)

Abstract

This paper investigates the time series properties of partisanship for five political parties in Spain. It is found that pure fractional processes with a degree of integration, d, between 0.6 and 0.8 fit the time-series behaviour of aggregate opinion polls for mainstream parties quite well, whereas values of d in the range of 0.3 to 0.6 are obtained for opinion polls related to smaller regional parties. Those results are in agreement with theories of political allegiance based on aggregation of heterogeneous voters with different degrees of commitment and pragmatism. Further, those models are found to be useful in forecasting the results of the last general elections in Spain. As a further contribution, new econometric techniques for estimation and testing of ARFIMA model are used to provide the previous evidence. Copyright © 2003 John Wiley & Sons, Ltd.

Suggested Citation

  • Laura Mayoral & Juan J. Dolado & Jesús Gonzalo, 2003. "Long-range dependence in Spanish political opinion poll series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 137-155.
  • Handle: RePEc:jae:japmet:v:18:y:2003:i:2:p:137-155 DOI: 10.1002/jae.700
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    File URL: http://qed.econ.queensu.ca:80/jae/2003-v18.2/
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    References listed on IDEAS

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    2. repec:cup:apsrev:v:90:y:1996:i:03:p:567-580_20 is not listed on IDEAS
    3. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
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    6. Eisinga, Rob & Franses, Philip Hans & Ooms, Marius, 1999. "Forecasting long memory left-right political orientations," International Journal of Forecasting, Elsevier, pages 185-199.
    7. Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T., 1996. "A minimum distance estimator for long-memory processes," Journal of Econometrics, Elsevier, pages 249-264.
    8. Chrystal, K Alec & Peel, David A, 1986. "What Can Economics Learn from Political Science, and Vice Versa?," American Economic Review, American Economic Association, pages 62-65.
    9. David Byers & James Davidson & David Peel, 1997. "Modelling Political Popularity: an Analysis of Long-range Dependence in Opinion Poll Series," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 160(3), pages 471-490.
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    Citations

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    Cited by:

    1. Maggie E. C. Jones & Morten Ørregaard Nielsen & Micha Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics, Canadian Economics Association, vol. 47(4), pages 1078-1130, November.
    2. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, pages 3100-3114.
    3. Frei, Xenia & Langer, Sebastian & Lehmann, Robert & Rösel, Felix, 2017. "Electoral Externalities in Federations - Evidence from German Opinion Polls," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168124, Verein für Socialpolitik / German Economic Association.
    4. Javier Gardeazabal, 2010. "Vote Shares in Spanish General Elections as a Fractional Response to the Economy and Conflict," Economics of Security Working Paper Series 33, DIW Berlin, German Institute for Economic Research.
    5. Hassler, Uwe & Hosseinkouchack, Mehdi, 2014. "Effect of the order of fractional integration on impulse responses," Economics Letters, Elsevier, vol. 125(2), pages 311-314.
    6. Morten Ørregaard Nielsen & Sergei S. Shibaev, 2015. "Forecasting daily political opinion polls using the fractionally cointegrated VAR model," Working Papers 1340, Queen's University, Department of Economics.
    7. Morten Ørregaard Nielsen & Sergei S. Shibaev, 2015. "Forecasting daily political opinion polls using the fractionally cointegrated VAR model," Working Papers 1340, Queen's University, Department of Economics.
    8. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
    9. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, pages 901-920.
    10. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is what?: A simple time-domain test of long-memory vs. structural breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra.
    11. P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
    12. Frei, Xenia & Langer, Sebastian & Lehmann, Robert & Rösel, Felix, 2017. "Electoral Externalities in Federations - Evidence from German Opinion Polls," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168124, Verein für Socialpolitik / German Economic Association.
    13. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, pages 3100-3114.
    14. Goodell, John W. & McGroarty, Frank & Urquhart, Andrew, 2015. "Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 162-171.
    15. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.
    16. Laura Mayoral, 2003. "Further Evidence on the Uncertain (Fractional) Unit Root in Real GNP," Working Papers 82, Barcelona Graduate School of Economics.

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