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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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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
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: EM/98/360
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/2241/

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