Flexible Seasonal Long Memory and Economic Time Series

Marius Ooms

No EI 9515-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a flexible model on post war US GNP data, which shows the statistical significance of seasonal 'overdifferencing' due to seasonal adjustment. Application to monthly shipping data for the Sound (1557-1783) shows the order of integration at frequency 0 and 1/12 about 0.5, with lower values at other frequencies. We use several graphical techniques to evaluate the estimation results in the frequency domain.

Keywords: fractional integration; frequency domain estimation; long memory; seasonal adjustment; seasonality; unit roots (search for similar items in EconPapers)
Date: 1995-01-01
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1351

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