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Seasonal and cyclical long memory

Arteche, Josu and Robinson, Peter M. (1998) Seasonal and cyclical long memory. Econometrics; EM/1998/360, EM/98/360. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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Identification Number: EM/98/360

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.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 1998 Josu Arteche and Peter M Robinson
Subjects: H Social Sciences > HB Economic Theory
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 27 Apr 2007
Last Modified: 01 Oct 2010 08:46
URI: http://eprints.lse.ac.uk/id/eprint/2241

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