 The Analysis of Seasonal Long Memory: The Case of Spanish Inflation*Oxford Bulletin of Economics and Statistics, 2007, vol. 69, issue 6, 749-772 Abstract: This paper describes semiparametric techniques recently proposed for the analysis of seasonal or cyclical long memory and applies them to a monthly Spanish inflation series. One of the conclusions is that this series has long memory not only at the origin but also at some but not all seasonal frequencies, suggesting that the fractional difference operator (1−L12)d should be avoided. Moreover, different persistent cycles are observed before and after the first oil crisis. Whereas the cycles seem stationary in the former period, we find evidence of a unit root after 1973, which implies that a shock has a permanent effect. Finally, it is shown how to compute the exact impulse responses and the coefficients in the autoregressive expansion of parametric seasonal long memory models. These two quantities are important to assess the impact of aleatory shocks such as those produced by a change of economic policy and for forecasting purposes, respectively. Date: 2007 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:69:y:2007:i:6:p:749-772 Ordering information: This journal article can be ordered from Access Statistics for this article Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC. |
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