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Time series modelling of sunspot numbers using long range cyclical dependence

  • Luis A. Gil-Alana

    ()

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

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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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
Contact details of provider: Web page: http://www.unav.es/facultad/econom

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  1. Dalla, Violetta & Hidalgo, Javier, 2005. "A parametric bootstrap test for cycles," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 219-261.
  2. 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.
  3. 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.
  4. 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.
  5. Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, vol. 73(1), pages 237-259, July.
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