Faculty of Economics and Business Administration Publications Database

(Mis)Specification of Long Memory in Seasonal Time Series

Volume: 15
Number: 1
Pages: 19 - 30
ISSN-Print: 0143-9782
Year: 1994
Keywords: Fractionally integrated seasonal processes; periodogram regression; approximate mean squared errors
Abstract: We present a complete generalization of fractional differencing with seasonal processes. The contribution of each seasonal frequency to the variance of a process may be modelled by separate difference parameters. The regression of the log-periodogram allows estimation of the difference parameters. We approximate the bias and the variance of these estimators with large samples. Numerical examples illustrate the risk of fractional misspecification.