A seasonal periodic long memory model for monthly river flows
Marius Ooms () and
Philip Hans Franses
No EI 9842, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
Based on simple time series plots and periodic sample autocorrelations, we document that monthly river flow data display long memory, in addition to pronounced seasonality. In fact, it appears that the long memory characteristics vary with the season. To describe these two properties jointly, we propose a seasonal periodic long memory model and fit it to the well-known Fraser river data (to be obtained from Statlib at http://lib.stat.cmu.edu/datasets/. We provide a statistical analysis and provide impulse response functions to show that shocks in certain months of the year have a longer lasting impact than those in other months.
Keywords: Long Memory; PARFIMA; Periodic model; SPARFIMA; Seasonal difference (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1530
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