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(MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES

Uwe Hassler

Journal of Time Series Analysis, 1994, vol. 15, issue 1, 19-30

Abstract: Abstract. We present a complete generalization of fractional differencing with seasonal processes. The contribution of each seasonal frequency to the variance of a process may be modelled by separate difference parameters. The regression of the log‐periodogram allows estimation of the difference parameters. We approximate the bias and the variance of these estimators with large samples. Numerical examples illustrate the risk of fractional misspecification.

Date: 1994
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https://doi.org/10.1111/j.1467-9892.1994.tb00174.x

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