Template-Type: ReDIF-Paper 1.0
Author-Name: Ooms, M.
Author-Name-Last: Ooms
Author-Name-First: Marius
Author-Person: poo1
Title: Flexible Seasonal Long Memory and Economic Time Series
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.
Creation-Date: 1995-01-01
Series: RePEc:ems:eureir
Number: EI 9515-/A
Keywords: fractional integration, frequency domain estimation, long memory, seasonal adjustment, seasonality, unit roots
Handle: RePEc:ems:eureir:1351