Seasonal and cyclical long memory

Josu Arteche and Peter M. Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: There has recently been great interest in time series with long memory, namely series whose dependence decays slowly in the sense that autocovariances are not summable and the spectral density is unbounded. This concept has been extended to SCLM (Seasonal/Cyclical Long Memory) where the dependence between seasonal or cyclic observations decays similarly slowly. We discuss issues related to SCLM processes such as modelling, estimation, statistical inference, applications and extensions.

Keywords: Long memory; seasonal time series; cyclic time series. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 31 pages
Date: 1998-09
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2241

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