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(MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
Author(s) -
Hassler Uwe
Publication year - 1994
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1994.tb00174.x
Subject(s) - mathematics , estimator , generalization , series (stratigraphy) , variance (accounting) , long memory , statistics , econometrics , time series , mathematical analysis , volatility (finance) , paleontology , accounting , business , biology
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.