 Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)Josu Artech and
Peter M Robinson
STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Abstract: Several semiparametric estimates of the memory parameter in standard long memory time series are now available. They consider only local behaviour of the spectrum near zero frequency, about which the spectrum is symmetric. However, long-range dependence can appear as a spectral pole at any Nyqvist frequency (reflecting seasonal or cyclical long memory), where the spectrym need display no such symmetry. We introduce Seasonal/Cyclical Asymmetric Long Memory (SCALM) processes that allow differing rates of increase on either side of such a pole. To estimate the two consequent memory parameters we extend two semiparametric methods that were proposed for the standard case of a spectrum diverging at the origin, namely the log-periodogram and Gaussian or Whittle methods. We also provide three tests of symmetry. Monte Carlo analysis of finite sample behaviour and an empirical application to UK inflation data are included. Our models and methods allow also for the posssibility of negative dependence, described by a possibly asymmetric spectral zero. Keywords: Semiparametric inference; long memory; seasonality (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:359 Access Statistics for this paper More papers in STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE |
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