Long Memory AbstractsMay2004

LONG MEMORY (Last revision 19/05/2004)
1.
AGIAKLOGLOU, C., P. NEWBOLD, M. WOHAR. (1992) Bias in an Estimator of the Fractional

Difference Parameter, Journal of Time Series Analysis, 14: 235-246. No file
Abstract not available

2.
ANDERSEN, T. G., T. BOLLERSLEV. (1997) Heterogeneous Information Arrivals and Return

Volatility Dynamics: Uncovering the Long_Run in High Frequency Returns. Journal of Finance,
52(3): 975-1005.
Recent empirical evidence suggests that the interdaily volatility clustering for most speculative returns
are best characterized by a slowly mean-reverting fractionally integrated process. Meanwhile, much
shorter lived volatility dynamics are typically observed with high frequency intradaily returns. The
present article demonstrates, that by interpreting the volatility as a mixture of numerous heterogeneous
short-run information arrivals, the observed volatility process may exhibit long-run dependence. As
such, the long-memory characteristics constitute an intrinsic feature of the return generating process,
rather than the manifestation of occasional structural shifts. These ideas are confirmed by our analysis
of a one-year time series of five-minute Deutschemark-U.S. Dollar exchange rates.
3.
ANDERSON, J. and J. LYHAGEN. (1999) A long memory panel unit root test: PPP revisited.
Working Paper Series in Economics and Finance, No. 303. Stockholm School of Economics.
Abstract in PDF format

4.
ANDREWS, D. W. K., O. LIEBERMAN. (2002) Higher-order Improvements of the Parametric

Bootstrap for Long-memory Gaussian Processes. Cowles Foundation Discussion Paper No. 1378,
Yale University.

5.
ANDREWS, D. W. K., P. GUGGENBERGER. (2003) A Bias-Reduced Log-Periodogram

Regression Estimator for the Long-Memory Parameter. Econometrica, 71(2): 675-712.

6.
ARTECHE, J. (2002) Semiparametric Robust Tests on Seasonal or Cyclical Long Memory Time
Series. Journal of Time Series Analysis, 23(3): 251-285.
The concept of SCLM (seasonal or cyclical long memory) implies the existence of one or more
spectral poles or zeros. The processes traditionally used to model such a behaviour assume the same
persistence across different frequencies. In this paper, we propose semiparametric Wald and Lagrange
multiplier (LM) tests of the equality of memory parameters at different frequencies (extendable to
other linear restrictions) which are standard in the sense that they have well known 2 distributions
under the null hypothesis although Gaussianity is nowhere assumed and are consistent against
constant and local alternatives. They have also the advantage of being robust against misspecification
at frequencies distant from those of interest. Their finite sample performance is compared with the
asymptotically locally efficient Robinsons tests (1994). An empirical application to a UK inflation
series is also included
7.
ARTECHE, J., P. M. ROBINSON (2000) Semiparametric Inference in Seasonal and Cyclical

Long Memory Processes. Journal of Time Series Analysis, 21(1): 1-25.
Several semiparametric estimates of the memory parameter in standard long memory time series are
now available. They consider only local behaviour of the spectrum near zero frequency, about which
the spectrum is symmetric. However long-range dependence can appear as a spectral pole at any
Nyqvist frequency (reflecting seasonal or cyclical long-memory), where the spectrum need display no
such symmetry. We introduce Seasonal/Cyclical Asymmetric Long Memory (SCALM) processes that
allow differing rates of increase on either side of such a pole. To estimate the two consequent memory
parameters we extend two semiparametric methods that were proposed for the standard case of a
spectrum diverging at the origin, namely the log-periodogram and Gaussian or Whittle methods. We
also provide three tests of symmetry. Monte Carlo analysis of finite sample behaviour and an empirical
application to UK inflation data are included. Our models and methods allow also for the possibility of
negative dependence, described by a possibly asymmetric spectral zero.
8.
ARTECHE, J. (2004) Gaussian semiparametric estimation in long memory in stochastic volatility

and signal plus noise models. Journal of Econometrics, 119, 131-154
This paper considers the persistence found in the volatility of many nancial time series by means of a
local Long Memory in Stochastic Volatility model and analyzes the performance of the Gaussian
semiparametric or local Whittle estimator of the memory parameter in a long memory signal plus noise
model which includes the Long Memory in Stochastic Volatility as a particular case.It is proved that
this estimate preserves the consistency and asymptotic normality encountered in observable long
memory series and under milder conditions it is more e cient than the estimator based on a logperiodogram regression.Although the asymptotic properties do not depend on the signal-to-noise ratio
the nite sample performance relies upon this magnitude and an appropriate choice of the bandwidth is
important to minimize the in uence of the added noise.I analyze the e ect of the bandwidth via Monte
Carlo.An application to a Spanish stock index is nally included.
9.
BAILLIE, R. T. (1996) Long memory processes and fractional integration in econometrics.

Journal of Econometrics, 73: 5-59
This paper provides a survey and review of the major econometric work on long memory processes,
fractional integration, and their applications in economics and finance. Some of the definitions of long
memory are reviewed, together with previous work in other disciplines. Section 3 describes the
population characteristics of various long memory processes in the mean, including ARFIMA. Section
4 is concerned with estimation and examines semiparametric procedures in both the frequency and
time domain, and also the properties of various regression based and maximum likelihood techniques.
Long memory volatility processes are discussed in Section 5, while Section 6 discusses applications in
economics and finance. The paper also has a concluding section.
10. BAILLIE, R. T. (1996) Editors introduction: Fractional differencing and long memory
processes. Journal of Econometrics, 73: 1-3.
11. BAILLIE, R., T. BOLLERSLEV. (1994) Cointegration, Fractional Cointegration, and Exchange
Rate Dynamics. Journal of Finance, 49(2): 737-745
Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and
Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates
are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it
possesses long memory and may possibly be well described as a fractionally integrated process. Hence,
the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons
12. BAILLIE, R. T., T. BOLLERSLEV, H. O. MIKKELSEN. (1996) Fractionally integrated
generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74: 3-30.
The new class of Fractionally Integrated Generalized AutoRegressive Conditionally Heteroskedastic
(FIGARCH) processes is introduced. The conditional variance of the process implies a slow hyperbolic
rate of decay for the influence of lagged squared innovations. Unlike (I(d) processes for the mean,
Maximum Likelihood Estimates (MLE) of the FIGARCH parameters are argued to be T1/2-consistent.
The small-sample behavior of an approximate MLE procedure is assessed through a simulation study,
which also documents how the estimation of a standard GARCH model tends to produce integrated, or
IGARCH, like estimates. An empirical example with daily Deutschmark U.S. dollar exchange rates
illustrates the practical relevance of the new FIGARCH specification
13. BAILLIE, R. T., C.-F. CHUNG, M. A. TIESLAU (1996). Analyzing Inflation by the Fractionally
Integrated Arfima-Garch Model. Journal of applied Econometrics, 11(1): 23-40.
This paper considers the application of long-memory processes to describing inflation for ten
countries. We implement a new procedure to obtain approximate maximum likelihood estimates of an
ARFIMA-GARCH process; which is fractionally integrated I(d) with a superimposed stationary
ARMA component in its conditional mean. Additionally, this long memory process is allowed to have
GARCH type conditional heteroscedasticity. On analysing monthly post-World War II CPI inflation
for ten different countries, we find strong evidence of long memory with mean reverting behaviour for
all countries except Japan, which appears stationary. For three high inflation economies there is
evidence that the mean and volatility of inflation interact in a way that is consistent with the Friedman
hypothesis.
14. BARKOULAS, J. T., C. F. BAUM, G. S. OGUZ. (1998) Stochastic Long Memory in Traded
Good Prices. Applied Economics Letters, 5:135-138.
Using spectral regression and exact maximum likelihood methods, we test for long memory dynamics
in the traded goods prices for the G7 countries, as measured in their import and export price indices.
Significant and robust evidence of fractional dynamics with long memory features is found in both
import and export price inflation rates.
15. BARKOULAS, J. T., C. F. BAUM, M. CAGLAYAN, A. CHAKRABORTY. (2000) Persistence
Dependence in Foreign Exchange Rates? A Reexamination. Global Financial Markets: Issues and
Policies, forthcoming.
We test for stochastic long-memory behavior in the returns series of currency rates for eighteen
industrial countries using a semiparametric fractional estimation method. A sensitivity analysis is also
carried out to analyze the temporal stability of the long-memory parameter. Contrary to the findings of
some previous studies alluding to the presence of long memory in major currency rates, our evidence
provides wide support to the martingale model (and therefore for foreign exchange market efficiency)
for our broader sample of foreign currency rates. Any inference of long-range dependence is fragile,
especially for the major currency rates. However, long-memory dynamics are found in a small number
of secondary (nonmajor) currency rates.
16. BARKOULAS, J. T., C. F. BAUM, M. CAGLAYAN. (1999) Persistence in International Inflation
Rates. Baum. Southern Economic Journal, 65(4): 900-913.
We test for fractional dynamics in CPI-based inflation rates for twenty-seven countries and WPI-based
inflation rates for twenty-two countries. The fractional differencing parameter is estimated using
semiparametric and approximate maximum likelihood methods. Significant evidence of fractional
dynamics with long-memory features is found in both CPI- and WPI-based inflation rates for industrial
as well as eveloping countries. Implications of the findings are considered and
sources of long memory are hypothesized.
17. BARKOULAS, J. T., C.F. BAUM, N. TRAVLOS. (1999) Long Memory in the Greek Stock
Market. Applied Financial Economics, 10(2):177-185.
We test for stochastic long memory in the Greek stock market, an emerging capital market. The
fractional differencing parameter is estimated using the spectral regression method. Contrary to
findings for major capital markets, insignificant and robust evidence of positive long-term persistence
is found in he Greek stock market. As compared to benchmark linear models, the estimated fractional
models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over
longer forecasting horizons.
18. BARKOULAS, J., C. F. BAUM (2003). Long-Memory Forecasting of US Monetary Indices.
Boston College Working Papers in Economics, No. 558.
Several studies have tested for long-range dependence in macroeconomic and financial time series but
very few have assessed the usefulness of long-memory models as forecast generating mechanisms.
This study tests for fractional differencing in the U.S. monetary indices (simple sum and divisia) and
compares the out-of-sample fractional forecasts to benchmark forecasts. The long-memory parameter
is estimated using Robinsons Gaussian semiparametric and multivariate log-periodogram methods.
The evidence amply suggests that the monetary series possess a fractional order between one and two.
Fractional out- of-sample forecasts are consistently more accurate (with the exception of the M3 series)
than benchmark autoregressive forecasts but the forecasting gains are not generally statistically
significant. In terms of forecast encompassing, the fractional model encompasses the autoregressive
model for the divisia series but neither model encompasses the other for the simple sum series.
19. BASAK, G., N. H. CHAN, W. PALMA. (2001) On the Approximation of Long Memory
Processes by an ARMA Model. Journal of Forecasting, 20(6): 367-389.
20. BEINE, M., A. BENASSY-QUERE, C. LECOURT. (2002) Central bank intervention and foreign
exchange rates: new evidence from FIGARCH estimations. Journal of International Money and
Finance, 21: 115-144.
In this paper, we investigate the effects of official interventions on the (short run) evolution and
volatility of exchange rates. To this aim, we rely on a new measure of volatility implied by the
FIGARCH model that outperforms the traditionally used GARCH one. It is found that central bank
interventions exert an incorrectly signed effect on the levels of exchange rates and tend to increase
their volatility in the short run. In general, our results also show that the traditional GARCH
estimations tend to underestimate the effects in terms of volatility.
21. BEINE, M., S. LAURENT (2003) Central bank interventions and jumps in double long memory
models of daily exchange rates. Journal of Empirical Finance, 10: 641-660.
In this paper, we estimate ARFIMAFIGARCH models for the major exchange rates (against the US
dollar) which have been subject to direct central bank interventions in the last decades. We show that
the normality assumption is not adequate due to the occurrence of volatility outliers and its rejection is
related to these interventions. Consequently, we rely on a normal mixture distribution that allows for
endogenously determined jumps in the process governing the exchange rate dynamics. This
distribution performs rather well and is found to be important for the estimation of the persistence of
volatility shocks. Introducing a time-varying jump probability associated to central bank interventions,
we find that the central bank interventions, conducted in either a coordinated or unilateral way, induce
a jump in the process and tend to increase exchange rate volatility.
22. BERAN, J. (1994) Statistics for Long-Memory Processes. Chapman and Hall/CRC
23. BERAN, J. (1993) Fitting long-memory models by generalized linear regression. Biometrika,
80(4): 817-822.
There is an increasing awareness of the importance of long-memory models in statistical applications.
If long memory is present, it has to be taken into account in order to obtain reliable tests and
confidence intervals. One obstacle to using models with long memory in routine statistical analysis has
been the lack of easily available and sufficiently versatile statistical software. Here we propose a
simple but flexible class of parametric models, which can be used to model such behaviour. We
demonstrate that these models can be fitted by generalized linear regression. Standard statistical
software packages can be used. A data example is discussed.
24. BERAN, J. (1994) On a class of M-estimators for Gaussian long-memory models. Biometrika,
81(4): 755-766
We consider estimation for parametric stationary Gaussian models with long memory. The spectral
density f(x; ) is assumed to be characterised by a vector = (1, 2, 3,?,m) such that 2 = H ? (,
1) and f(x; ) is proportional to x 1 - 2H as x tends to zero. An approximate maximum likelihood
estimator based on the autoregressive representation of the process is proposed. Its asymptotic
distribution is derived. More generally, the approach leads to a class of M-estimators for which a
central limit theorem holds. By choosing an appropriate -function, robustness against additive outliers
can be achieved, while keeping high efficiency under the ideal model. This is illustrated by a small
simulation study. A simple algorithm and an explicit formula for the efficiency, and thus for choosing
an appropriate tuning parameter, are given for Hampel's redescending -function.
25. BERAN, J., N. TERRIN. (1996) Testing for a change of the long-memory parameter. Biometrika,
83(3): 627-638.
Long-range dependence is often observed in long time series. Correlations decay approximately like |k|
2H -2 , with H ? (0.5, 1), as the lag k tends to infinity. The long-term features of the data are essentially
characterised by the parameter H. Small changes of H have strong implications for the long-term
behaviour of the process. In particular, rates of convergence of estimators for the mean, and for many
other parameters of interest, differ for different values of H. For some data sets, H appears to change
with time. In this paper we consider a simple test of the null hypothesis that H is constant. The test is
based on a functional central limit theorem for quadratic forms. Critical values for the test statistic are
given. Simulations confirm the validity of the test. A data example illustrates its practical application.
26. BERTELLI, S., M. CAPORIN. (2002) A Note on Calculating Autocoaviances of Lon-Memory
Processes. Journal of Time Series Analysis, 23(5): 503:508
In this paper, we consider a method (splitting) for calculating the autocovariances of fractional
integrated processes (ARFIMA) and generalized integrated processes (GARMA). The splitting method
does not require any restriction on the autoregressive roots, and allows fast calculation of the
autocovariances of these processes.
27. BHANSALI, R. J., P. S. KOKOSZK. (2001) Prediction of Long-Memory Time Series: An

Overview. Estadistica, 53: 41-96.
28. BHANSALI, R. J., P. S. KOKOSZKA. (2003) Prediction of Long-Memory Time Series: A
tutorial Review. In Processes with Long Range Correlations (eds. G. Rangarajan and M. Ding).
New York, Springer: 3-21
29. BHANSALI, R. J., P.S. KOKOSZKA. (2001). Estimation of the Long-Memory parameters. A
review of Recent Developments and an extension. Proceedings of the Symposium on Inference for
Stochastic Processes, I.V. Basawa, C.C.Heyde and R.L. Taylor, eds. IMS Lecture Notes: 125-150
30. BOLLERSLEV, T., J. CAI, F. M. SONG (2000) Intraday periodicity, long memory volatility, and
macroeconomic announcement effects in the US Treasury bond market. Journal of Empirical
Finance, 7: 37-55.
In this paper, we provide a detailed characterization of the return volatility in US Treasury bond
futures contracts using a sample of 5-min returns from 1994 to 1997. We find that public information
in the form of regularly scheduled macroeconomic announce-ments is an important source of volatility
at the intraday level. Among the various announcements, we identify the HumphreyHawkins
testimony, the employment report, the producer price index PPI , the employment cost, retail sales, and
the NAPM survey as having the greatest impact. Our analysis also uncovers striking long-memory
volatility dependencies in the fixed income market, a finding with important implications for the
pricing of long-term options and other related instruments.
31. BOLLERSLEV, T., H. O. MIKKELSEN. (1996) Modeling and pricing long memory in stock
market volatility. Journal of Econometrics, 73: 151-184.
A new class of fractionally integrated GARCH and EGARCH models for characterizing financial
market volatility is discussed. Monte Carlo simulations illustrate the reliability of quasi maximum
likelihood estimation methods, standard model selection criteria, and residual-based portmanteau
diagnostic tests in this context. New empirical evidence suggests that the apparent long-run
dependence in U.S. stock market volatility is best described by a mean-reverting fractionally integrated
process, so that a shock to the optimal forecast of the future conditional variance dissipate at a slow
hyperbolic rate. The asset pricing implications of this finding is illustrated via the implementation of
various option pricing formula.
32. BOLLERSLEV, T., J. W. WRIGHT. (2000) Semiparametric estimation of long-memory volatility
dependencies: The role of high-frequency data. Journal of Econometrics, 98: 81-106.
Recent empirical studies have argued that the temporal dependencies in financial market volatility are
best characterized by long memory, or fractionally integrated, time series models. Meanwhile, little is
known about the properties of the semiparametric inference procedures underlying much of this
empirical evidence. The simulations reported in the present paper demonstrate that, in contrast to logperiodogram regression estimates for the degree of fractional integration in the mean (where the span
of the data is crucially important), the quality of the inference concerning long-memory dependencies
in the conditional variance is intimately related to the sampling frequency of the data. Some new
estimators that succinctly aggregate the information in higher frequency returns are also proposed. The
theoretical findings are illustrated through the analysis of a ten-year time series consisting of more than
half-a-million intradaily observations on the Japanese YenU.S. Dollar exchange rate.
33. BREIDT, F. J., N. CRATO, P. de LIMA. (1998) The detection and estimation of long memory in
stochastic volatility. Journal of Econometrics, 83: 325-348.
We propose a new time series representation of persistence in conditional variance called a long
memory stochastic volatility (LMSV) model. The LMSV model is constructed by incorporating an
ARFIMA process in a standard stochastic volatility scheme. Strongly consistent estimators of the
parameters of the model are obtained by maximizing the spectral approximation to the Gaussian
likelihood. The finite sample properties of the spectral likelihood estimator are analyzed by means of a
Monte Carlo study. An empirical example with a long time series of stock prices demonstrates the
superiority of the LMSV model over existing (short-memory) volatility models.
34. BREITUNG, J., U. HASSLER. Inference on the cointegration rank in fractionally integrated
For univariate time series we suggest a new variant of efficient score tests against fractional
alternatives. This test has three important merits. First, by means of simulations we observe that it is
superior in terms of size and power in some situations of practical interest. Second, it is easily
understood and implemented as a slight modification of the DickeyFuller test, although our score test
has a limiting normal distribution. Third and most important, our test generalizes to multivariate
cointegration tests just as the DickeyFuller test does. Thus it allows to determine the cointegration
rank of fractionally integrated time series. It does so by solving a generalized eigenvalue problem of
the type proposed by Johansen (J. Econ. Dyn. Control 12 (1988) 231). However, the limiting
distribution of the corresponding trace statistic is 2, where the degrees of freedom depend only on the
cointegration rank under the null hypothesis. The usefulness of the asymptotic theory for finite samples
is established in a Monte Carlo experiment.
35. CALVET, L., A. FISHER. (2001) Forecasting multifractal volatility. Journal of Econometrics,
105(1): 27-58.
This paper develops analytical methods to forecast the distribution of future returns for a new
continuous-time process, the Poisson multifractal. The process captures the thick tails, volatility
persistence, and moment scaling exhibited by many financial time series. It can be interpreted as a
stochastic volatility model with multiple frequencies and a Markov latent state. We assume for
simplicity that the forecaster knows the true generating process with certainty but only observes past
returns. The challenge in this environment is long memory and the corresponding infinite dimension of
the state space. We introduce a discretized version of the model that has a finite state space and an
analytical solution to the conditioning problem. As the grid step size goes to zero, the discretized
model weakly converges to the continuous-time process, implying the consistency of the density
forecasts.
36. CAPAROLE, M., L. A. GIL ALANA. (2004) Long range dependence in daily stock returns.
Applied Financial Economics, 14(6), 375-383
The tests of Robinson (Journal of the American Statistical Association, 89, 1420-37, 1994a) are used to
analyse the degree of dependence in the intertemporal structure of daily stock returns (defined as the
first difference of the logarithm of stock prices, where the series being considered is the S&P500
index). These tests have several distinguishing features compared with other procedures for testing for
unit (or fractional) roots. In particular, they have a standard null limit distribution and they are the most
efficient ones when carried out against the appropriate alternatives. In addition, they allow the
incorporation of the Bloomfield (Biometrika, 60, 217-226, 1973) exponential spectral model for the
underlying I(0) disturbances. The full sample, which comprises 17 000 observations, is first divided in
10 subsamples of 1700 observations each. These are then grouped two by two, and five by five; finally,
the whole sample is considered. The results indicate that the degree of dependence remains relatively
constant over time, with the order of integration of stock returns fluctuating slightly above or below
zero. On the whole, there is very little evidence of fractional integration, despite the length of the
series. Therefore, it appears that the standard practice of taking first differences when modelling stock
returns might be adequate.
37. CHAMBERS, M. (1998) Long memory and aggregation in macroeconomic time series,
International Economic Review, 39: 1053-1072. No file
No abstract available
38. CHAN, L. K. C., J. KARCESKI, J. LAKONISHOK. (2003) The Level and Persistence of Growth
Rates. Journal of Finance, 58(2): 643-684.
Expectations about long-term earnings growth are crucial to valuation models and cost of capital
estimates. We analyze historical long-term growth rates across a broad cross-section of stocks using
several indicators of operating performance. We test for persistence and predictability in growth.
While some firms have grown at high rates historically, they are relatively rare instances. There is no
persistence in long-term earnings growth beyond chance, and there is low predictability even with a
wide variety of predictor variables. Specifically, IBES growth forecasts are overly optimistic and add
little predictive power. Valuation ratios also have limited ability to predict future growth.
39. CHEN, W. W., C. M. HURVICH. (2003) Estimating fractional cointegration in the presence of
polunomial trends. Journal of Econometrics, 117:95-121.
We propose and derive the asymptotic distribution of a tapered narrow-band least squares estimator
(NBLSE) of the cointegration parameter in the framework of fractional cointegration. This tapered
estimator is invariant to deterministic polynomial trends. In particular, we allow for arbitrary linear
time trends that often occur in practice. Our simulations show that, in the case of no deterministic
trends, the estimator is superior to ordinary least squares (OLS) and the nontapered NBLSE proposed
by P.M. Robinson when the levels have a unit root and the cointegrating relationship between the
series is weak. In terms of rate of convergence, our estimator converges faster under certain
circumstances, and never slower, than either OLS or the nontapered NBLSE. In a data analysis of
interest rates, we find stronger evidence of cointegration if the tapered NBLSE is used for the
cointegration parameter than if OLS is used
40. CHEUNG, Y.-W. (1993) Long memory in foreign exchange rates. Journal of Business and
Economic Statistics, 11: 93-101. No file
41. CHEUNG, Y.-W., K. S. LAI (2001) Long memory and nonlinear mean reversion in Japanese yenbased real exchange rates. Journal of International Money and Finance, 20: 115-132.
The extraordinary difficulty in uncovering parity reversion in yen-based real exchange rates has often
been ascribed to a missing trend variable. This study identifies an alternative expla-nation and shows
that the puzzling behavior of real yen rates may stem from long-memory dynamics, which undermine
unit-root tests in their ability to detect mean reversion. The long-memory findings are consistent with
the long swings in yen exchange rates during the current float. Further analysis also reveals evidence
of non-monotonic reversion toward parity.
42. CHEUNG, Y.-W., F. X. DIEBOLD. (1994) 71. On maximum likelihood estimation of the
differencing parameter of fractionally-integrated noise with unknown mean. Journal of
Econometrics, 62(2): 301-316.
There are two approaches to maximum likelihood (ML) estimation of the parameter of fractionallyintegrated noise: approximate frequency-domain ML [Fox and Taqqu (1986)] and exact time- domain
ML [Sowell (1992b)]. If the mean of the process is known, then a clear finite-sample mean-squared
error ranking of the estimators emerges: the exact time-domain estimator is superior. We show in this
paper, however, that the finite-sample efficiency of approximate frequency-domain ML relative to
exact time-domain ML rises dramatically when the mean is unknown and so must be estimated. The
intuition for our result is straightforward: the frequency-domain ML estimator is invariant to the true
but unknown mean of the process, while the time-domain ML estimator is not. Feasible time-domain
estimation must therefore be based upon de-meaned data, but the long memory associated with
fractional integration makes precise estimation of the mean difficult. We conclude that the frequencydomain estimator is an attractive and efficient alternative for situations in which large sample sizes
render time-domain estimation impractical.
43. CHOY, K., M. TANIGUCHI. (2001) Stochastic regression model with dependent disturbances.
Journal of Time Series Analysis, 22: 175-196. No file
In this paper, we consider the estimation of the coefficient of a stochastic regression model whose
explanatory variables and disturbances are permitted to exhibit short-memory or long-memory
dependence. Three estimators of the coefficient are proposed. A variety of their asymptotics are
illuminated under various assumptions on the explanatory variables and the disturbances. Numerical
studies of the theoretical results are given. They show some unexpected aspects of the asymptotics of
the three estimators.
44. CHRISTENSEN, B. J., M. O. NIELSEN. (2002) Semiparametric Analysis of Stationary
Fractional Cointegration and the Implied-Realized Volatility Relation. University of Aarhus
Working Paper No. 2001-4
We consider semiparametric frequency domain analysis of cointegration between long memory
processes, i.e. fractional cointegration, allowing derivation of useful long-run relations even among
stationary processes. The approach uses a degenerating part of the periodogram near the origin to form
a narrow band frequency domain least squares (FDLS) estimator of the cointegrating relation, which is
consistent for arbitrary short-run dynamics. Our main theoretical contribution is to derive the
asymptotic distribution theory for the FDLS estimator of the cointegration vector in the stationary long
memory case. The motivating example is the relation between the volatility realized in the stock
market and the associated implicit volatility derived from option prices. An application to highfrequency U.S. stock index and option data is offered.
45. CHUNG, C.-F. (1996) Estimating a generalizad long memory process. Journal of Econometrics,
73: 237-259.
This paper considers the estimation of a two-parameter long memory process (the Gegenbauer process)
that generalizes the popular one-parameter fractionally integrated process to allow for hyperbolic and
sinusoidal decay in autocorrelations. Conditional sum of squares (CSS) estimation is suggested. We
show that the estimator of one of the parameters converges, at a rate faster than the usual , to the unitroot limiting distribution, i.e., a functional of Brownian motions. Simulation results on parameter
estimation are provided to demonstrate the relevance of these theoretical results and ensuing
computational problems.
46. CIOCZECK-GEORGES, R., B.B. MANDELBROT. (1995) A class of micropulses and
antipersintent fractional Brownian motion, Stochastic Processes and their applications, 60: 1-18.
No file
No abstract available.
47. COMTE, F., E. RENAULT. (1996) Long memory continuous time models. Journal of
Econometrics, 73: 101-149.
This paper presents a new family of long memory models: the continuous time moving average
fractional process. The continuous time framework allows to reconcile two competitive types of
modelling: fractional integration of ARMA processes and fractional Brownian Motion. A comparison
with usual discrete time ARFIMA models is lead. Some well-known empirical evidence on
macroeconomic and financial time series, such as variability of forward rates, aggregation of responses
across heterogeneous agents, are well-captured by this continuous time modelling. Moreover, the usual
statistical tools for long memory series and for Stochastic Differential Equations can be jointly applied
in this setting
48. DAVIDSON, J. (2002) A model of fractional cointegration, and tests for cointegration using the
bootstrap. Journal of Econometrics, 110(2):187-212.
The paper proposes a framework for modelling cointegration in fractionally integrated processes, and
considers methods for testing the existence of cointegrating relationships using the parametric
bootstrap. In these procedures, ARFIMA models are fitted to the data, and the estimates used to
simulate the null hypothesis of non-cointegration in a vector autoregressive modelling framework. The
simulations are used to estimate p-values for alternative regression-based test statistics, including the F
goodness-of-fit statistic, the DurbinWatson statistic and estimates of the residual d. The bootstrap
distributions are economical to compute, being conditioned on the actual sample values of all but the
dependent variable in the regression. The procedures are easily adapted to test stronger null
hypotheses, such as statistical independence. The tests are not in general asymptotically pivotal, but
implemented by the bootstrap, are shown to be consistent against alternatives with both stationary and
nonstationary cointegrating residuals. As an example, the tests are applied to the series for UK
consumption and disposable income. The power properties of the tests are studied by simulations of
artificial cointegrating relationships based on the sample data. The F test performs better in these
experiments than the residual-based tests, although the DurbinWatson in turn dominates the test based
on the residual d.
49. DAVIDSON, J. (2001) Testing for Fractional Cointegration: the Relationship between
Government Popularity and Economic Performance in the UK. mimeo, Cardiff Business School.
This paper investigates the relationship between the quarterly opinion poll lead of UK governments
over the period 1 955-1 996, and a set of economic indicators. The hypothesis of a causal link between
these variables is often debated, but there is a difficulty in testing the link by conventional econometric
methods. These require either stationarity or the I(1 ) property, but there is strong evidence from a
number of different studies that opinion poll series are fractionally integrated, being nonstationary but
also mean-reverting. This paper tests the hypothesis of fractional cointegration using bootstrap
methods. It first discusses the problem of defining a cointegrating relationship between series that may
not have the same order of integration, and suggests a generalized cointegration model that might
account for this case. The bootstrap tests of the regular and generalized cointegration hypotheses make
use of a size correction that compensates for the biases due to estimating the parameters of the model
for the bootstrap replications. The tests reveal no evidence of a link between the political and economic
cycles, a conclusion that reinforces the results of earlier work suggesting that the political cycle is
generated by the internal dynamics of the opinion formation process. The findings are reinforced by a
Monte Carlo study, showing that the methods have ample power to detect cointegrating relations, even
in cases where the residuals are noisy and persistent
50. DAVIDSON, J., T. T. TERASVIRTA. (2002) Long memory and nonlinear time series. Journal of
Econometrics, Guest editorial, 110:105-112.
51. DIAMANDIS, P. F., D. A. GEORGOUTSOS, G. P. KORETAS. (2000) The monetary model in

the presence of I(2) components: long-run relationships, short-run dynamics and forecasting of the
Greek drachma. Journal of International Money and Finance, 917-941.
This paper re-examines the long-run properties of the monetary exchange rate model using data for the
drachmadollar and drachmamark exchange rates under the hypothesis that the system contains
variables that are I(2). Using the recent I(2) test by Paruolo (On the determination of integration
indices in I(2) systems. J. Economet. 72 (1996) 313356) to examine the presence of I(2) and I(1)
components in a multivariate context we find that the system contains two I(2) variables in both cases
and this finding is reconfirmed by the estimated roots of the companion matrix (Do purchasing power
parity and uncovered interest rate parity hold in the long-run? An example of likelihood inference in a
multivariate time-series model. Juselius, J. Economet. 69 (1995) 211240). The I(2) component led to
the transformation of the estimated model by imposing long-run but not short-run proportionality
between domestic and foreign money. Two statistically significant cointegrating vectors were found
and, by imposing linear restrictions on each vector as suggested by Johansen and Juselius
(Identification of the long-run and the short-run structure: an applicaion to the ISLM model. J.
Economet. 63 (1994) 7 36) and Johansen (Identifying restrictions of linear equations with
applications to simultaneous equations and cointegration. J. Economet. 69 (1995b) 111132), the order
and rank conditions for identification are satisfied, but the test for overidentifying restrictions was not
significant only for the case of the drachma/mark rate. The main findings suggest that we reject the
forward-looking version of the monetary model for the drachma/dollar case but not when the
drachma/mark rate is used, a result that is attributed to the monetary and exchange rate policy followed
by the Greek authorities since Greeces joining of the European Union. Furthermore, we test for
parameter stability using the tests developed by Hansen and Johansen (Recursive estimation in
cointegrated VAR-models. Working paper (1993) University of Copenhagen) and it is shown that the
dimension of the cointegration rank is sample independent while the estimated coefficients do not
exhibit instabilities in recursive estimations. Finally, it is shown that the monetary model outperforms
the random walk model in an out-of-sample forecasting contest.
52. DIEBOLD, F. X., A, L. KILIAN (2001) Measuring Predictability Theory and Macroeconomics
Applications. Journal of Applied Econometrics, 16(6), 657-669.
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to
the expected loss of a long-run forecast. This predictability measure can be tailored to the forecast
horizons of interest, and it allows for general loss functions, univariate or multivariate information sets,
and covariance stationary or difference stationary processes. We propose a simple estimator, and we
suggest resampling methods for inference. We then provide several macroeconomic applications. First,
we illustrate the implementation of predictability measures based on fitted parametric models for
several US macroeconomic time series. Second, we analyze the internal propagation mechanism of a
standard dynamic macroeconomic model by comparing the predictability of model inputs and model
outputs. Third, we use predictability as a metric for assessing the similarity of data simulated from the
model and actual data. Finally, we outline several non-parametric extensions of our approach
53. DIEBOLD, F. X., G. RUDEBUSCH. (1991) On the power of Dickey-Fuller tests against
fractional alternatives. Board of Governors of the Federal Reserve System, Finance and
Economics Discussion Series, No. 119. No file
54. DING, Z., C. W. J. GRANGER, R. ENGLE. (1993) A long memory property of stock market
returns and a new model. Journal of Empirical Finance, 1:83-106.
55. DING, Z., C. W. J. GRANGER. (1996) Modelling volatility persistence of speculative returns: A
new approach. Journal of Econometrics, 73: 185-215. No file
This paper extends the work by Ding, Granger, and Engle (1993) and further examines the long
memory property for various speculative returns. The long memory property found for S&P 500
returns is also found to exist for four other different speculative returns. One significant difference is
that for foreign exchange rate returns, this property is strongest when instead of at d = 1 for stock
returns. The theoretical autocorrelation functions for various GARCH(1, 1) models are also derived
and found to be exponential decreasing, which is rather different from the sample autocorrelation
function for the real data. A general class of long memory models that has no memory in returns
themselves but long memory in absolute returns and their power transformations is proposed. The
issue of estimation and simulation for this class of model is discussed. The Monte Carlo simulation
shows that the theoretical model can mimic the stylized empirical facts strikingly well.
56. DITTMANN, I. (2000) Residual-Based Test for Fractional Cointegration: A Monte Carlo Study.
Journal of Time Series Amalysis, 21(6): 615-647 No file
57. DITTMANN, I., C. W. J. GRANGER (2002) Properties of Nonlinear Transformations of
Fractionally Integrated Processes. Journal of Econometrics, 110:113-133.
This paper shows that the properties of nonlinear transformations of a fractionally integrated process
strongly depend on whether the initial series is stationary or not. Transforming a stationary Gaussian
I(d) process with d>0 leads to a long-memory process with the same or a smaller long-memory
parameter depending on the Hermite rank of the transformation. Any nonlinear transformation of an
antipersistent Gaussian I(d) process is I(0)). For non-stationary I(d) processes, every polynomial
transformation is non-stationary and exhibits a stochastic trend in mean and in variance. In particular,
the square of a non-stationary Gaussian I(d) process still has long memory with parameter d, whereas
the square of a stationary Gaussian I(d) process shows less dependence than the initial process.
Simulation results for other transformations are also discussed
58. DACOROGNA, M.M., U. A. MULLER, R. J. NAGLER, R. B. OLSEN, O. V. PICTET. (1993) A
geographical model for the daily and weekly seasonal volatility in the foreign exchange market.
Journal of International Money and Finance, 12: 413-438. No file
The daily and weekly seasonality of foreign exchange volatility is modelled by introducing an activity
variable. This activity is explained by a simple model of the changing and sometimes overlapping
market presence of geographical components (East Asia, Europe, and America).
Integrating this activity over time results in the new time scale, characterized by non-seasonal
volatility. This scale, applied to dense datastreams of absolute price changes, suceeds in removing
most of the seasonal heteroscedasticity in an autocorrelation study. Unexpectedly, the positive
autocorrelation is found to decline hyperbolically rather than exponentially as a function of the lag
59. DOLADO, J. J., J. GONZALO, L. MAYORAL. (2002) A Fractional Dickey-Fuller Tests for Unit
Roots. Econometrica, 70(5): 1963-2006. No file
This paper presents a new test for fractionally integrated ("FI") processes. In particular, we propose a
testing procedure in the time domain that extends the well-known Dickey-Fuller approach, originally
designed for the "I"(1) versus "I"(0) case, to the more general setup of "FI"("d"-sub-0) versus "FI"("d"sub-1), with "d"-sub-1<"d"-sub-0. When "d"-sub-0=1, the proposed test statistics are based on the OLS
estimator, or its "t"-ratio, of the coefficient on -super-"d"-sub-1"y"-sub-"t" - 1 in a regression of "ysub-t" on -super-"d"-sub-1"y"-sub-"t" - 1 and, possibly, some lags of "y-sub-t". When "d"-sub-1 is
not taken to be known a priori, a pre-estimation of "d"-sub-1 is needed to implement the test. We show
that the choice of any "T"-super-1/2-consistent estimator of "d"-sub-1 is an element of [0 ,1)
suffices to make the test feasible, while achieving asymptotic normality. Monte-Carlo simulations
support the analytical results derived in the paper and show that proposed tests fare very well, both in
terms of power and size, when compared with others available in the literature. The paper ends with
two empirical applications. Copyright The Econometric Society 2002.
60. DOORNIK, J. A., M. OOMS. (2003) Computational Aspects of Maximum Likelihood Estimation
of ARFIMA models. Computational Statistics & Data Analysis, Special issue: Computational
econometrics, 42(3): 333 - 348
We discuss computational aspects of likelihood-based estimation of univariate ARFIMA(p; d; q)
models. We show how efficient computation and simulation is feasible, even for large samples. We
also discuss the implementation of analytical bias corrections.
61. FAIRFIELD SMITH, H. (1938) An empirical law describing heterogeneity in the yields of
agricultural crops, Journal of Agricultural Science. 28: 1-23. No file
62. FONG, W. M., S. OULIARIS. (1995) Spectral Tests of the Martingale Hypothesis for Exchange
Rates. Journal of Applied Econometrics, 10(3): 255-271.
A new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the
martingale hypothesis. Unlike the widely used variance ratio test, spectral shape tests are consistent
against all stationary non-white-noise alternatives from the martingale null. In this paper we examine
the finite sample properties of the spectral shape tests and find that the tests have good size and power
properties even for small samples. We apply the tests to examine the martingale hypothesis for five
major currencies vis-a-vis the US dollar for the period 1974-89. The results indicate that most
currencies violate the martingale hypothesis. It appears that some rejections are due to long-memory
influences.
63. FRANSES, R. PAAP. (2002) Censored latent effects autoregression, with an application to US
unemployment. Journal of Applied Econometrics, 17(4): 347-366.
A model is proposed to describe observed asymmetries in postwar unemployment time series data. We
assume that recession periods, when unemployment increases rapidly, correspond with unobserved
positive shocks. The generating mechanism of these latent shocks is a censored regression model,
where linear combinations of lagged explanatory variables lead to positive shocks, while otherwise
shocks are equal to zero. We apply this censored latent effects autoregression to monthly US
unemployment, where the positive shocks are found to be predictable using various leading indicators.
The model fits the data well and its out-of-sample forecasts appear to improve on those from
alternative models.
64. GHAZALI, N. O., S. RAMLEE. (2003) A long memory test of the long-run Fisher effect in the
G7 countries. Applied Financial Economics, 13(10), 763-769
The belief that short-term interest rates respond positively to changes in price level, commonly known
as the Fisher effect, are currently being investigated extensively by financial researchers. Over the long
run the hypothesis implies the presence of an equilibrium relationship between interest rates and
inflation. Early evidence favouring the Fisher effect is found not to be consistent in certain time
periods and some countries. This paper examines the presence of the effect in the G7 countries. An
ARFIMA (Autoregressive Fractionally Integrated Moving Average) model is employed that
generalizes the standard ARIMA by allowing fractional differencing. Based on the generalized
ARFIMA estimation, the cointegration hypothesis between short-term interest rates and inflation
cannot be supported. Interest rates in the G7 countries are not linked to inflation rate in the long run.
The puzzling evidence rejecting the Fisher effect remains as the proposed relationship between interest
rates and inflation is not real in these countries.
65. GEWEKE, J., S. PORTER-HUDAK. (1983) The Estimation and Application of Long Memory
Time Series Models. Journal of Time Series Analysis, 4(4): 221-238. No file
Abstract not available.
66. GIL-ALANA, L.A. (2003) Testing of Fractional cointegration in Macroeconomic Time Series.
Oxford Bulletin of Economics and Statistics, 65(4): 517-529.
We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic
time series. It is based on Robinson's (Journal of the American Statistical Association, Vol. 89, p.
1420) univariate tests and is similar in spirit to the one proposed by Engle & Granger (Econometrica,
Vol. 55, p. 251), testing initially the order of integration of the individual series and then, testing the
degree of integration of the residuals from the cointegrating relationship. Finite-sample critical values
of the new tests are computed and Monte Carlo experiments are conducted to examine the size and the
power properties of the tests in finite samples. An empirical application, using the same datasets as in
Engle & Granger (Econometrica, Vol. 55, p. 251) and Campbell & Shiller (Journal of Political
Economy, Vol. 95, p. 1062), is also carried out at the end of the article.
67. GIL-ALANA, L.A., B. HENRY. (2003) Fractional Integration and the Dynamics of UK
Unemployment. Oxford Bulletin of Economics and Statistics, 65(2): 221-239.
This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using
traditional approach beased on I(0) stationary or I(1) integrated and/or cointegrated) models, we use
the fractional integration framework
68. GIL-ALANA, L. A., P. M. ROBINSON. (2001) Testing of seasonal fractional integration in UK

and Japanese consumption and income. Journal of Applied Econometrics, 16(2): 95-114.
The seasonal structure of quarterly UK and Japanese consumption and income is examined by means
of fractionally based tests proposed by Robinson (1994). These series were analysed from an
autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) and
Hylleberg, Engle, Granger and Lee (HEGL, 1993). We find that seasonal fractional integration, with
amplitudes possibly varying across frequencies, is an alternative plausible way of modelling these
series.
69. GIRAITIS, L., P. M. ROBINSON, D. SURGAILIS. (2000) A model for long memory conditional
heteroscedasticity, Annals of Applied Probability, 10: 1002-1024. No file.
70. GIRAITIS, L., P. M. ROBINSON. (2003) Edgeworth Expansions for Semiparametric Whittle
Estimation of Long Memory. Annals of Statistics, 31, 1325-1375
The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to
have especially nice limiting distributional properties, being asymptotically normal with a limiting
variance that is completely known. However in moderate samples the normal approximation may
notbevery good, so we consider a refined, Edgeworth, approximation, for both a tapered estimate, and
the original untapered one. For the tapered estimate, our higher- order correction involves two terms,
one of order m1/2 (where m is the bandwidth number in the estimation), the other a bias term, which
increases in m ; depending on their relative magnitude of the terms, one or the other may dominate, or
they may balance. For the untapered estimate we obtain an expansion in which, for m increasing fast
enough, the correction consists only of a biasterm. We discuss applications of our expansions to
improved statistical inference and bandwidth choice. We assume Gaussianity, but in other respects our
assumptions seem mild.
71. GIRAITIS, L., J. HIDALGO, P. M. ROBINSON. (2001) Gaussian Estimation of Parametric
Spectral Density With Unkown Pole. Annals of Statistics, 29: 987-1023.
We consider a parametric spectral density with power-law behaviour about a frac-tional pole at the
unknown frequency !. The case of known !, especially ! = 0, is standard in the long memory literature.
When ! is unknown, asymptotic distribution theory for estimates of parameters, including the (long)
memory parameter, is signif-icantly harder. We study a form of Gaussian estimate. We establish n
consistency of the estimate of !, and discuss its (non-standard) limiting distributional behaviour.
For the remaining parameter estimates, we establish pn - consistency and asymptotic normality.
72. GIRAITIS, L., P. KOKOSZKA, R. LEIPUS. (2001) Testing for Long-Memory in the presence of
a General Trend. Journal of Applied Probability, 38: 1033-1054.
Abstract not available.
73. GIRAITIS, L., P. KOKOSZKA, R. LEIPUS, G. TEYSSIERE. (2003) Rescaled variance and
related tests for long memory in volatility and levels. Journal of Econometrics, 112(2): 265-294.
This paper studies properties of tests for long memory for general fourth order stationary sequences.
We propose a rescaled variance test based on V/S statistic which is shown to have a simpler
asymptotic distribution and to achieve a somewhat better balance of size and power than Lo's
(Econometrica 59 (1991) 1279) modified R/S test and the KPSS test of Kwiatkowski et al. (J.
Econometrics 54 (1992) 159). We investigate theoretical performance of R/S, KPSS and V/S tests
under short memory hypotheses and long memory alternatives, providing a Monte Carlo study and a
brief empirical example. Assumptions of the same type are used in both short and long memory cases,
covering all persistent dependence scenarios. We show that the results naturally apply and the
assumptions are well adjusted to linear sequences (levels) and to squares of linear ARCH sequences
(volatility).
74. GOLIA, S. (2001) Long memory effects in ultra-high frequency data. Quaderni di Statistics,
Universita degli Studi di Brescia, 3, 43-52
In the present paper, tick-by-tick, or ultra-high frequency data are analized. An Autoregressive
Conditional Duration (ACD)-type process for the durations between consecutive events, the Fractional
Integrated Autoregressive Conditional Duration process (Jasiak, 1999), is reviewed and discussed in
order to admit the presence of long memory patterns. This process, as the ACD, is based on the
assumption that the temporal dependence in the durations is captured by the mean function. The long
term dependency is examined on the Italian stock Tiscali time series recorded from to of May 2000.
75. GONZALO, J., T.-H. LEE (1998) Pitfalls in testing for long run relationships. Journal of
Econometrics, 86(1): 129-154.
This paper analyzes the robustness of the two most commonly used cointegration tests: the single
equation based test of Engle and Granger (EG) and the system based test of Johansen. We show
analytically and numerically several important situations where the Johansen LR tests tend to find
spurious cointegration with probability approaching one asymptotically. The situations investigated are
of two types. The first one corresponds to variables that have long-memory properties and a trending
behavior, but they are not pure I(1) processes although they are difficult to tell from I(1) with standard
unit root tests. The second corresponds to I(1) variables whose VAR representation has a singular or
near-singular error covariance matrix. In most of the situations investigated in this paper, EG test is
more robust than Johansen LR tests. This paper shows that a proper use of the LR test in applied
cointegration analysis requires a deeper data analysis than the standard unit root test. We conclude by
recommending to use both tests (EG and Johansen) to test for cointegration in order to avoid or to
discover a pitfall.
76. GRANGER, C. W. (1966) The Typical spectral shape of an economic variable. Econometrica, 34:
150-161.
In recent years, a number of power spectra have been estimated from economic data and the majority
have been found to be of a similar shape. A number of implications of this shape are discussed,
particular attention being paid to the reality of business cycles, stability and control problems, and
model building
77. GRANGER, C. W. (1980) Long Memory Relationships and the Aggregation of Dynamic Models,
Journal of Econometrics, 14: 227-238. No file
By aggregating simple, possibly dependent, dynamic micro-relationships, it is shown that the
aggregate series may have univariate long-memory models and obey integrated, or infinite length
transfer function relationships. A long-memory time series model is one having spectrum or order -2d
for small frequencies , d>0. These models have infinite variance for but finite variance for . For d=1
the series that need to be differenced to achieve stationarity occur, but this case is not found to occur
from aggregation. It is suggested that if series obeying such models occur in practice, from
aggregation, then present techniques being used for analysis are not appropriate.
78. GRANGER, C. W., R. JOYEUX . (1980) An Introduction to Long-Memory Time Series Models
and Fractional Differencing. Journal of Time Series Analysis, 1(1): 15-29. No file
79. GRANGER, C. W. J., Z. DING. (1996) Varieties of long memory models. Journal of
Econometrics, 73: 61-77.
Long memory is defined as a series having a slowly declining correlogram or, equivalently, an infinite
spectrum at zero frequency. Fractional integrated processes have such properties but here it is pointed
out that a number of other processes can also be long memory, including generalized fractionally
integrated models arising from aggregation, time-changing coefficient models, and possibly nonlinear
models. It seems that there are many classes of processes that deserve further study. The relevance of
long memory is illustrated using absolute returns from a daily stock market index.
80. GRANGER, C. W. TERASVIRTA. (1999) A simple Nonlinear Time Series Model with
Misleading Linear Properties. Economics Letters, 62(2): 161-165.
This paper gives an example of a first-order nonlinear autoregressive time series model with short
memory such that autocorrelations estimated from data generated by the model point at a long-memory
model.
81. GRAS, H., P. H. FRANSES, M. OOMS. (2000) A long-memory time series analysis of weekly
ticket sales in the Rotterdam Grand Theatre, 1860-1881. Forthcoming in revised form in Journal
of Social History.
82. HASSLER, U., F. MARMOL, C. VELASCO. (2003) Fractional Cointegration in the Presence of
Linear Trends. mimeo, Goethe-University and Universidad Carlos III de Madrid.
We consider regressions of nonstationary fractionally integrated variables dominated by linear time
trends. The regression errors can be short memory, long memory, or even nonstationary, and hence
allow for a very flexible cointegration model. Our main contributions are two: First, we analyze the
limiting behaviour of the regression estimators. We find in case of simple regressions that limiting
normality arises at a rate of convergence that is independent of the order of integration of the regressor.
This result does not carry over to the multivariate case, where the limiting distribution is more
complicated. Second, we investigate a residual-based, log-periodogram regression. We state conditions
that allow consistent estimation of the memory parameter of the error term. This estimator follows a
limiting normal distribution and is therefore suitable for cointegration testing. The applicability of this
asymptotic result to finite samples is established by means of Monte Carlo experiments.
83. HASSLER, U., J, WOLTERS. (1994) On the Power of Unit Roots against Fractional
Alternatives. Economics Letters, 45:1-5. No file
We investigate the probability of rejecting the I(1) hypothesis when unit root tests are applied to
fractionally integrated time series. Especially the augmented Dickey-Fuller test performs poorly. Our
analytical arguments are supported by Monte Carlo experiments
84. HELSON, J., Y. SARASON (1967) Past and Future, Mathematica Scandanavia, 51: 5-16. No file
85. HENRY, M. (2001) Averaged periodogram spectral estimation with long memory conditional
heteroscedasticity. Journal of Time Series Analysis, 22(4): 431-459.
The empirical relevance of long-memory conditional heteroscedasticity has emerged in a variety of
studies of long time series of high frequency financial measurements. A reassessment of the
applicability of existing semiparametric frequency domain tools for the analysis of time dependence
and long-run behaviour of time series is therefore warranted. To that end, in this paper the averaged
periodogram statistic is analysed in the framework of a generalized linear process with long-memory
conditional heteroscedastic innovations according to a model specification first proposed by Robinson
(Testing for strong serial correlation and dynamic conditional heteroscedasticity in multiple regression.
J. Economet. 47 (1991), 6784). It is shown that the averaged periodogram estimate of the spectral
density of a short-memory process remains asymptotically normal with unchanged asymptotic variance
under mild moment conditions, and that for strongly dependent processes Robinson's averaged
periodogram estimate of long memory (Semiparametric analysis of long memory time series. Ann.
Stat. 22 (1994), 51539) remains consistent.
86. HENRY, M. (2001) Robust Automatic Bandwith for Long Memory. Journal of Time Series
Analysis, 22(3): 293-316.
The choice of bandwidth, or number of harmonic frequencies, is crucial to semiparametric estimation
of long memory in a covariance stationary time series as it determines the rate of convergence of the
estimate, and a suitable choice can insure robustness to some non-standard error specifications, such as
(possibly long-memory) conditional heteroscedasticity. This paper considers mean squared error
minimizing bandwidths proposed in the literature for the local Whittle, the averaged periodogram and
the log periodogram estimates of long memory. Robustness of these optimal bandwidth formulae to
conditional heteroscedasticity of general form in the errors is considered. Feasible approximations to
the optimal bandwidths are assessed in an extensive Monte Carlo study that provides a good basis for
comparison of the above-mentioned estimates with automatic bandwidth selection.
87. HENRY, M., P. M. ROBINSON (2003) Higher-order kernel semiparametric M-estimation of long
memory. Journal of Econometrics, 114(1): 1-27.
Econometric interest in the possibility of long memory has developed, as a flexible alternative to or
compromise between the usual short memory or unit root prescriptions, for example in the context of
modelling cointegrating or other relationships and in describing the dependence structure of nonlinear
functions of financial returns. Semiparametric methods of estimating the memory parameter can avoid
bias incurred by misspecification of the short memory component. We introduce a broad class of such
semiparametric estimates that also covers pooling across frequencies. A leading "Box-Cox" sub-class,
indexed by a single tuning parameter, interpolates between the popular local log-periodogram and local
Whittle estimates, leading to a smooth interpolation of asymptotic variances. The bias of these two
estimates also differs to higher order, and we also show how bias, and asymptotic mean-squared error,
can be reduced, across the class of estimates studied, by means of a suitable version of higher-order
kernels. We thence calculate an optimal bandwidth (the number of low-frequency periodogram
ordinates employed) which minimizes this mean-squared error. Finite sample performance is studied in
a small Monte Carlo experiment, and an empirical application to intra-day foreign exchange returns is
included
88. HENRY, M., P. ZAFFARONI. (2002) The Long Range Dependence
Paradigm for
Macroeconomics and Finance. Theory and Applications of Long-range Dependence, Paul
Doukhan, Georges Oppenheim and Murad S. Taqqu eds., Birkhuser, Boston, 2002.
89. HEYDE, C.C., Y. YANG (1997) On defining long range dependence. Journal of Applied
Probability, 34: 939-944. No file
90. HIDALGO, J., P. M. ROBINSON. (2002) Adapting to Unknown Disturbance Autocorrelation in
Regression with Long Memory. Econometrica, 70(4): 1545-1581. No file.
We show that it is possible to adapt to nonparametric disturbance autocorrelation in time series
regression in the presence of long memory in both regressors and disturbances by using smoothed
nonparametric spectrum estimate in frequency-domain generalized least squares. When the collective
memory in regressors and disturbances is sufficiently strong, ordinary least squares is not only
asymptotically inefficient but asymptotically non-normal and has a slow rate of convergence, whereas
generalized least squares is asymptotically normal and Gauss-Markov efficient with standard
convergence rate. Despite the anomalous behavior of nonparametric spectrum estimates near a spectral
pole, we are able to justify a standard construction of frequency-domain generalized least squares,
earlier considered in case of short memory disturbances. A small Monte Carlo study of finite sample
performance is included.
91. HIEMSTRA, C., J. D. JONES. (1997) Another look at long memory in common stock returns.
Journal of Empirical Finance, 4: 373-401.
We apply the modified rescaled range test to the return series of 1,952 common stocks. The results
indicate that long memory is not a widespread characteristic of these stocks. But logit models of the
event of a test rejection reveal that rejections are linked to firms with large risk-adjusted average
returns. The maximal moment of a return distribution is also found to influence the event of a
rejection, but not in a way suggestive of moment-condition failure. Evidence suggestive of
survivorship bias is also uncovered. We conclude that there is some evidence consistent with persistent
long memory in the returns of a small proportion of stocks.
92. HOSKING, J. R. M.(1981) Fractional Differencing. Biometrika, 68(1): 165-176.
The family of autoregressive integrated moving-average processes, widely used in time series analysis,
is generalized by permitting the degree of differencing to take fractional values. The fractional
differencing operator is defined as an infinite binomial series expansion in powers of the backwardshift operator. Fractionally differences processes exhibit long-term persistence and antipersistence; the
dependence between observations a long time span apart decays much more slowly with time span
than is the case with the more commonly studied time series models. Long-term persistent processes
have applications in economics and hydrology; compared to existing models of long-term persistence,
the family of models introduced here offers much greater flexibility in the simultaneous modelling of
the short-term and long-term behaviour of a time series.
93. HOSKING, J. R. M. (1996) Asymptotic distributions of the sample mean, autocovariances, and
autocorrelations of long-memory time series. Journal of Econometrics, 73: 261-284.
We derive the asymptotic distributions of the sample mean, autocovariances, and autocorrelations for a
time series whose autocovariance function "" has the powerlaw decay ~ -, > 0, o < < 1, as . The
results differ in important respects from the corresponding results for short-memory processes, whose
autocovariance functions are absolutely summable. For long-memory processes the variances of the
sample mean, and of the sample autocovariances and autocorrelations for 0 < 1/2, are not of
asymptotic order n-1. When 0 < < 1/2 the asymptotic distributions of the sample autocovariances and
autocorrelations are not Normal.
94. HOSOYA, Y. (1996) The quasi-likelihood approach ro statistical inferece on multiple time-series
with long-range dependence. Journal of Econometrics, 73: 217-236.
The paper gives a unified approach to dealing with multiple long-memory time-series possessing a
variety of singularities in their spectrum, based on the quasi-likelihood function. It proposes quasimaximum-likelihood estimation and the quasi-likelihood ratio test for statistical inference purposes. A
large-sample theory is given by means of a bracketing function approach under very general
conditions, without the usual assumptions of Gaussianity or exact martingale differences for
innovation processes. The paper also discusses the particular characteristic of modelling long-memory
time-series which influences the type of the quasi-likelihood function and produces distinct differences
in the asymptotic properties of related statistics.
95. HUALDE, J. P. M. ROBINSON (2003) Cointegration in Fractional Systems with Unknown
Integration Orders. Econometrica, 71(6), 1727, 1766.
Cointegrated bivariate nonstationary time series are considered in a fractional context, without
allowance for deterministic trends. Both the observable series and the cointegrating error can be
fractional processes. The familiar situation in which the respective integration orders are 1 and 0 is
nested, but these values have typically been assumed known. We allow one or more of them to be
unknown real values, in which case Robinson and Marinucci (2001, 2003) have justified least squares
estimates of the cointegrating vector, as well as narrow-band frequency-domain estimates, which may
be less biased. While consistent, these estimates do not always have optimal convergence rates, and
they have nonstandard limit distributional behavior. We consider estimates formulated in the frequency
domain, that consequently allow for a wide variety of (parametric) autocorrelation in the short memory
input series, as well as time-domain estimates based on autoregressive transformation. Both can be
interpreted as approximating generalized least squares and Gaussian maximum likelihood estimates.
The estimates share the same limiting distribution, having mixed normal asymptotics (yielding Wald
test statistics with -super-2 null limit distributions), irrespective of whether the integration orders are
known or unknown, subject in the latter case to their estimation with adequate rates of convergence.
The parameters describing the short memory stationary input series are n-consistently estimable, but
the assumptions imposed on these series are much more general than ones of autoregressive moving
average type. A Monte Carlo study of finite-sample performance is included
96. HURST, H. E. (1951) Long-term storage capacity of reservoirs. Transactions of the American
Society of Civil Engineers, 116: 770-799. No file
97. HURVICH, C. M., (2001) Model Selection for Broadband Semiparametric Estimation of Long
Memory in Time Series. Journal of Time Series Analysis, 22(6): 679-709. `
We study the properties of Mallows' CL criterion for selecting a fractional exponential (FEXP) model
for a Gaussian long-memory time series. The aim is to minimize the mean squared error of a
corresponding regression estimator dFEXP of the memory parameter, d. Under conditions which do
not require that the data were actually generated by a FEXP model, it is known that the mean squared
error MSE=E[dFEXP-d]2 can converge to zero as fast as (log n)/n, where n is the sample size,
assuming that the number of parameters grows slowly with n in a deterministic fashion. Here, we
suppose that the number of parameters in the FEXP model is chosen so as to minimize a local version
of CL, restricted to frequencies in a neighborhood of zero. We show that, under appropriate conditions,
the expected value of the local CL is asymptotically equivalent to MSE. A combination of theoretical
and simulation results give guidance as to the choice of the degree of locality in CL.
98. JENSEN, M. J. (2000) Bayesian Inference of Long-Memory Dependence in Volatility via
Wavelets. mimeo, Department of Economics, University of Missouri.
99. JENSEN, M. J., B. WHITCHER. (2000) Time-Varying Long-Memory in Volatility Detection and
Estimation with Wavelets. mimeo, University of Missouri, Research Statistics Unit,
GlaxoSmithKline.
Previous analysis of high frequency, financial time series data has found volatility to follow a longmemory process and to display an intraday U-shape pattern. The finding of long-memory implicitly
assumes that a stable environment exists in the financial world, whereas the U-shape pattern in
volatility suggests that it does not. To better capture the nonstationary behavior associated with market
collapses, political upheavals and news announcements, we propose a nonstationary class of stochastic
volatility models that features time-varying parameters. The generality of our nonstationary stochastic
volatility model better accommodates several empirical features of volatility and also nests stationary
stochastic volatility models within it. To estimate the time-varying long-memory parameter we use the
log linear relationship between the local variance of the maximum overlap discrete wavelet transform's
coefficients and their scaling parameter to produce a semiparametric, OLS estimator. Because wavelets
are a set of basis functions well localized in time and scale, they are an ideal tool for analyzing
nonstationary, long-memory behavior. We apply our estimator to a years worth of five-minute
Deutsche mark-US dollar return data.
100. KAPETANIOS, G. (2002) Testing for Neglected Nonlinearity in Long Memory Models. Queen
Mary, University of London, Working Paper No 473
Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric
literature. The motivation for this development ma be be traced to the perceived possibility that processes following nonlinear models ma be mistakenly taken to be unit root or long-memory
nonstationary. This paper considers the possibility that processes ma exhibit both long memory and
nonlinear-it .We test against the possibility that the process u t in the model (1 L )d y t =u t is
nonlinear. We do not assume a particular parametric form for the nonlinear process but construct a
pure significance test. Clearly, such a test could be straightforwardly constructed if d were known.
Unfortunately , if a linear model is assumed while estimating d the power of the test will be reduced.
We propose new more powerful tests for this problem. We present Monte Carlo evidence on the
performance of the new tests and apply them to Yen real exchange
rates.
101. KARANASOS, M., Z. PSARADAKIS, M. SOLA. (2004) On the Autocorrelation Properties of
Long-Memory GARCH Processes, Journal of Time Series Analysis, 25(20), 265-282. No file
This paper derives the autocorrelation function of the squared values of long-memory GARCH
processes. Such processes are of much interest as they can produce the long-memory conditional
heteroskedasticity that many high-frequency financial time series exhibit. An empirical application
illustrating the practical use of our results is also discussed.
102. KATO, T., E. MASRY. (1999) On the Spectral Density of the Wavelet Transform of Fractional
Brownian Motion. Journal of Time Series Analysis, 20(5): 559:563.
We consider the wavelet transform {Wa(t), - < t} < }, at scale a > 0, of a fractional Brownian motion.
A simple and mathematically rigorous proof is given to establish the existence of the spectral density
fWa() of the wavelet transform and provide an expression for it.
103. KIRMAN, A., G. TEYSSIERE. (2002) Bubbles and Long Range Dependence in Asset Price
Volatilities. GREQUAM, Discussion Paper 2002/60.
A model for a financial asset is constructed with two types of agents.The agents di er in terms of their
beliefs.The proportions of the two types change over time according to a stochastic process which
models the interaction between the agents.Thus,unlike other models,agents do not persist in holding
wrong beliefs.Bubble-like phenomena in the asset price occur.We consider several tests for detecting
long range dependence and change-points in the conditional variance process.Although the model
seems to generate long-memory properties of the volatility series,we show that this is due to the
switching of regimes which are detected by the tests we propose.
104. KOKOSZKA, P. S., M. S. TAQQU. (1996) Infinite variance stable moving averages with long
memory. Journal of Econometrics, 73: 79-99.
We investigate the notion of long memory for infinite variance moving averages with stable nonGaussian innovations and regularly varying coefficients. Regularly varying coefficients decay to zero
like jPL(j) as j , where L is a slowly varying function. We study the asymptotic behavior of two
measures of dependence, the codifference and the covariation, which are extensions of the covariance.
105. KOOP, G., E. LEY, J. OSIEWALSKI, M. F. J. STEEL. (1997) Bayesian analysis of long memory
and persistence using ARFIMA models. Journal of Econometrics, 76: 149-169.
This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average
(ARFIMA) models. We discuss in detail inference on impulse responsens, and show how Bayesian
methods can be used to (i) test ARFIMA models against ARIMA alternatives and (ii) take model
uncertainty into account when making inferences on quantities of interest. Our methods are then used
to investigate the persistence properties of real U.S. GNP.
106. KOULIKOV, D. (2002) Modeling Sequences of Long Memory Positive Weakly Stationary
Random Variables. William Davidson Institute at the University of Michigan Business School,
Working Paper, No. 493.
Abstract in PDF format.
107. LEE, D., P. SCHMIDT. (1996) On the power of the KPSS test of stationarity against fractionallyintegrated alternatives. Journal of Econometrics, 73: 285-302.
Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) proposed a test of the null hypothesis of stationarity.
However, their distribution theory under the null hypothesis assumes that the series in question has
short memory; that is, its partial sum satisfies an invariance principle. This paper shows that the KPSS
test is consistent against stationary long memory alternatives, such as I(d) processes for . It can
therefore be used to distinguish short memory and long memory stationary processes. The power of the
KPSS test in finite samples is found to be comparable to that of Lo's modified rescaled range test. The
results show that a rather large sample size, such as T = 1000, will be necessary to distinguish reliably
between a long memory process and a short memory process with comparable short-term
autocorrelation.
108. LEIPUS, R. M.-C. VIANO (2000) Modelling Long-memory Time Series with Finite or Infinite
Variance: a General Approach. Journal of Time Series Analysis, 21(1): 61-74.
We present a class of generalized fractional filters which is stable with respect to series and parallel
connection. This class extends the so-called fractional ARUMA and fractional ARMA filters
previously introduced by e.g. Goncalves (1987) and Robinson (1994) and recently studied by Giraitis
and Leipus (1995) and Viano et al. (1995). Conditions for the existence of the induced stationary SS
and L2 processes are given. We describe the asymptotic dependence structure of these processes via
the codifference and the covariance sequences respectively. In the L2 case, we prove the weak
convergence of the normalized partial sums.
109. To be removed from the list, NOT RELEVANT LIPPI AND ZAFFARONI (1999)
Contemporaneous aggregation of linear dynamic models in large economies, mimeo, Research
department, Bank of Italy. No file
110. To be removed from the list, NOT RELEVANT LIESENFELD, R. (2002) Identifying Common
Long-Range Dependence in Volume and Volatility Using High-Frequency Data. mimeo, Eberhard
Karl Universtitaet Tuebingen
No extraction of the abstract from the PDF file is possible.
111. LIU, M. (2000) Modelling long memory in stock market volatility. Journal of Econometrics, 99:
139-171.
Inspired by the idea that regime switching may give rise to persistence that is observationally
equivalent to a unit root, we derive a regime switching process that exhibits long memory. The feature
of the process that generates long memory is a heavy-tailed duration distribution. Using this process
for volatility, we obtain a regime switching stochastic volatility (RSSV) model that we fit to daily S&P
returns from 1928 through 1995 by means of the efficient method of moments estimation (EMM)
method. Forecasts of RSSV volatility given past returns can be generated by reprojection, as we
illustrate. The RSSV model is accepted according to the EMM chi-squared statistic. Using this
statistic, we also evaluate several other models that have been proposed in the literature and some
modifications to them. We find that models that exhibit long memory in volatility and heavy tails
conditionally, as does the RSSV model, fit the data, whereas models without these characteristics do
not. We also find weak evidence that suggests the presence of an additional short memory component
of volatility over and above the long memory component.
112. LO., W. (1991) Long-Term Memory in Stock Market Prices. Econometrica, 59(5): 1279-1313.
A test for long-run memory that is robust to short-range dependence is developed. It is an extension of
the "range over standard deviation" or R/S statistic, for which the relevant asymptotic sampling theory
is derived via functional central limit theory. This test is applied to daily and monthly stock returns
indexes over several time periods and, contrary to previous findings, there is no evidence of long-range
dependence in any of the indexes over any sample period or sub-period once short-range dependence is
taken into account. Illustrative Monte Carlo experiments indicate that the modified R/S test has power
against at least two specific models of long-run memory, suggesting that stochastic models of shortrange dependence may adequately capture the time series behavior of stock returns.
113. LOBATO, I. N. (1999) A semiparametric two-step estimator in a multivariate long memory
model. Journal of Econometrics, 90: 129-153.
This paper analyzes a two-step estimator of the long memory parameters of a vector process. The
objective function considered is a semiparametric version of the multivariate Gaussian likelihood
function in the frequency domain. In our context, semiparametric refers to the fact that only
periodogram ordinates evaluated in a degenerating neighborhood of zero frequency are employed in
the estimation procedure. Asymptotic normality is established under mild conditions that do not
include Gaussianity. Furthermore, the simplicity of the form of the covariance matrix of the estimates
facilitates statistical inference. We include an application of these estimates to exchange rate data.
114. LOBATO, I. N., P. M. ROBINSON. (1996) Averaged periodogram estimation of long memory.
Journal of Econometrics, 73: 303-324.
This paper discusses estimates of the parameter which governs the shape of the spectral density near
zero frequency of a long memory time series. The estimates are semiparametric in the sense that the
spectral density is parameterized only within a neighborhood of zero frequency. The estimates are
based on averages of the periodogram over a band consisting of m equally-spaced frequencies which
decays slowly to zero as sample size increases. Robinson (1994a) proposed such an estimate of H
which is consistent under very mild conditions. We describe the limiting distributional behavior of the
estimate and also provide Monte Carlo information on its finite-sample distribution. We also give an
expression for the asymptotic mean squared error of the estimate. In addition to depending on the
bandwidth number m, the estimate depends on an additional user-chosen number q, but we show that
for there exists an optimal q for each H, and we tabulate this.
115. LOBATO, I. N., N. E. SAVIN. (1998) Real and Spurious Long-Memory Properties of StockMarket Data. Journal of Business and Economic Statistics, 16: 261-268. No file.
We test for the presence of long memory products in daily stock returns and their squares using a
robust semiparametric procedure of Lobato and Robinson. Spurious results can be produced by
nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and
using individual stocks. The test results show no evidence on long memory in the return. By contrast,
there is strong evidence in the squared returns.
116. LOBATO, I. N., C. VELASCO. (2000) Long Memory in Stock-Market Trading Volume. Journal
of Business & Economic Statistics, 18(4): 410-427. No file.
This article examines consistent estimation of the long-memory parameters of stock-market trading
volume and volatility. The analysis is carried out in the frequency domain by tapering the data instead
of detrending them. The main theoretical contribution of the article is to prove a central limit theorem
for a multivariate two-step estimator of the memory parameters of a nonstationary vector process.
Using robust semiparametric procedures, the long-memory properties of trading volume for the 30
stocks in the Dow Jones Industrial Average index are analyzed. Two empirical results are found. First,
there is strong evidence that stock-market trading volume exhibits long memory. Second, although it is
found that volatility and volume exhibit the same degree of long memory for most of the stocks, there
is no evidence that both processes share the same long-memory component.
117. LUBIAN, D. (1999) Long-Memory Erros in Time Series Regressions with a Unit Root. Journal of
Time Series Analysis, 20(5):565-577.
This paper is concerned with estimation and inference in univariate time series regression with a unit
root when the error sequence exhibits long-range temporal dependence. We consider generating
mechanisms for the unit root process which include models with or without a drift term and we study
the limit behavior of least squares statistics in regression models without drift and trend, with drift but
no time trend, and with drift and time trend. We derive the limit distribution and rate of convergence of
the ordinary least squares (OLS) estimator of the unit root, the intercept and the time trend in the three
regression models and for the two different data-generating processes. The limiting distributions for
the OLS estimator differ from those obtained under the hypothesis of weakly dependent errors not only
in terms of the limiting process involved but also in terms of functional form. Further, we characterize
the asymptotic behavior of both the t statistics for testing the unit root hypothesis and the t statistic for
the intercept and time trend coefficients. We find that t ratios either diverge to infinity or collapse to
zero. The limiting behavior of Phillips's Z and Zt semiparametric corrections is also analyzed and
found to be similar to that of standard Dickey Fuller tests. Our results indicate that misspecification of
the temporal dependence features of the error sequence produces major effects on the asymptotic
distribution of estimators and t ratios and suggest that alternative approaches might be more suited to
testing for a unit root in time series regression.
118. McLEOD, A. I., K. W. HIPEL (1978) Preservation of the rescaled adjusted range, 1: A
reassessment of the Hurst phenomenon, Water Resources Research, 14: 491-508. No file
119. MANDELBROT, B. B., J. W. VAN NESS. (1968) Fractional Brownian motions, fractional
Brownian notions and applications, SIAM Review, 10: 422-437 No file
120. MARINUCCI, D., P. M. ROBINSON. (2001) Semiparametric fractional cointegration analysis.

Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at
frequency zero. We study a narrow-band frequency domain least squares estimate of the cointegrating
vector, and related semiparametric methods of inference for testing the memory of observables and the
presence of fractional cointegration. These procedures are employed in analysing empirical
macroeconomic series; their usefulness and feasibility in finite samples is supported by results of a
Monte Carlo experiment
121. MARINUCCI, D. (2000) Spectral Regression For Cointegrated Time Series With Long-Memory
Innovations. Journal of Time Series Analysis, 21(6): 685-705.
Spectral regression is considered for cointegrated time series with long-memory innovations. The
estimates we advocate are shown to be consistent when cointegrating relationships among stationary
variables are investigated, while ordinary least squares are inconsistent due to correlation between the
regressors and the cointegrating residuals; in the presence of unit roots, these estimates share the same
asymptotic distribution as ordinary least squares. As a corollary of the main result, we provide a
functional central limit theorem for quadratic forms in non-stationary fractionally integrated processes
122. MARMOL, F. (1998) Spurious regression theory with nonstationary fractionally integrated
This paper develops an analytical study of the asymptotic distributions obtained when we run linear
regressions in the levels of nonstationary fractionally integrated FI(d) processes, that are spuriously
related in a multivariate single-equation setting which allows for the existence of cointegrating
relationships and quite general deterministic components. In doing this, the analytical studies of
Phillips (1986), Haldrup (1994) and Marmol (1995, 1996) are embedded in our results.
123. MARTIN V. L., N. P. WILKINS. (1999) Indirect estimation of ARFIMA and VARFIMA models.
Journal of Econometrics, 93(1): 149-175.
Indirect estimation methods are proposed for estimating ARFIMA, as well as more complex
VARFIMA models. A general framework for conducting indirect estimation of fractional models is
developed that covers simulation methods, choice of auxiliary model and estimation algorithm. Special
attention is given to comparing the finite sampling properties of the indirect estimator with Sowell's
(1992a) exact time domain maximum-likelihood estimator, the spectral maximum-likelihood estimator
of Fox and Taqqu (1986) and the Geweke and Porter-Hudak (1983) spectral regression estimator. The
indirect estimator can be computationally faster than the exact time domain maximum-likelihood
estimator while generating similar small sample properties. The computational gains of the indirect
estimator over maximum likelihood increase as the complexity of the data generating process
increases.
124. PAI., J. S., N. RAVISHANKER (1998) Bayesian analysis of autoregressive fractionally integrated
moving average processes. Journal of Time Series Analysis, 19(1): 99-112.
Tests are proposed for detecting possible changes in parameters when the observations are obtained
sequentially in time. While deriving the tests the alternative one has in mind specifies the parameter
process as a martingale. The distribution theory of these tests relies on the large-sample results; that is,
only the limiting null distributions are known (except in very special cases). The main tool in
establishing these limiting distributions is weak convergence of stochastic processes. Suppose that we
have vector-valued observations x1,?,xn obtained sequentially in time (or ordered in some other linear
fashion). Their joint distribution is described by determining the initial distribution for x1 and the
conditional distribution for each xk given the past up to x k - 1 . Suppose further that these
distributions depend on a p-dimensional parameter vector . At least locally (i.e., in a short time
period) this may be more or less legitimate. In the long run, however, the possibility of some changes
in the observation-generating process should be taken into account. Specifically, it is assumed here that
those changes occur through a parameter variation in the form of a martingale. The martingale
specification has an advantage of covering several types of departure of constancy: for example, a
single jump at an unknown time point (the so-called change-point model) or slow random variation
(typically random walk). The tests are derived by first finding the locally most powerful test against a
martingale-type alternative when the starting value of the parameter process is known. After some
simplification a test having a known numerically tractable limiting distribution is developed. When the
starting point is unknown an efficient estimate is substituted for it. In addition, the corresponding
limiting distribution is established. The proposed tests turn out to be based on cumulative sums of the
score function (the derivative of the log-likelihood).
125. PARKE, W. R. (1999) What is Fractional Integration? Review of Economics and Statistics, 81(4):
632-638.
A simple construction that will be referred to as an error-duration model is shown to generate
fractional integration and long memory. An error-duration representation also exists for many familiar
ARMA models, making error duration an alternative to autoregression for explaining dynamic
persistence in economic variables. The results lead to a straightforward procedure for simulating
fractional integration and establish a connection between fractional integration and common notions of
structural change. Two examples show how the error-duration model could account for fractional
integration in aggregate employment and in asset price volatility.
126. PETERS, A., P. SIBBERTSEN. (2001) Robust Tests on Fractional Cointegration. University of
Dortmund SFB 475 Technical Report 29/2001.
Cointegration describes the pattern that pairs of time series keep together in long run, although they
diverge in short run. A generalisation of this behaviour is the fractional cointegration. Two statistical
tests, the M{ and ML{test are formulated for fractional cointegration in different situations. It turns out
that the robust M{test reaches almost the same power as the maximum likelihood test under certain
assumptions. In contrast to this, the power of the M{test is much higher than that of the ML{test if the
examined time series is contaminated following the general replacement model.
127. PETRIS, G. (1997) Bayesian Analysis of Long Memory Time Series. PhD Dissertation, Institute
of Statistics and Decision Sciences in the Graduate School of Duke University.
Abstract in PDF format.
128. PHILLIPS, P. C. B. (1999) Unit Root Log Periodogram Regression. Cowles Foundation for
Research in Economics, Yale University, Paper submitted for publication.
Log periodogram (LP) regression is shown to be consistent and to have a mixed normal limit
distribution when the memory parameter d = 1. Gaussian errors are not required. Tests of d = 1 based
on LP regression are consistent against d < 1 alternatives but inconsistent against d > 1 alternatives. A
test based on a modified LP regression that is consistent in both directions is provided.
129. PIPIRAS, V., M. S. TAQQU. (2002) Deconvolution of Fractional Brownian Motion. Journal of
Time Series Analysis, 23(4): 487-501.
We show that a fractional Brownian motion with H(0,1) can be represented as an explicit
transformation of a fractional Brownian motion with index H (0,1). In particular, when H=, we
obtain a deconvolution formula (or autoregressive representation) for fractional Brownian motion. We
work both in the time domain and the spectral domain and contrast the advantages of one domain
over the other
130. PONG, A., M. B. SHACKLETON, S. T. TAYLOR, X. XINZHONG. (2003) Forecasting currency
volatility: a comparison of implied volatilities and AR(FI)MA models. Lancaster University
Working Paper; EFA 2002 Berlin Meetings Presented Paper
Using high frequency intraday returns, we calculate the realized volatility of the USD/GBP,
USD/DEM and USD/JPY exchange rates. It is shown that the dynamics of the logarithms of realized
volatilities can be captured by either a fractionally integrated long memory model or a short memory
ARMA model. The paper compares the forecasting properties of a short memory model, a long
memory model and the implied volatilities from OTC foreign currency options, for realized volatilities
over horizons ranging from one day to three months. We find that the enhanced performances of the
historical forecasts, relative to implied volatilities, come from the use of high frequency returns, and
not from the use of a long memory model. Both intraday models provide more accurate forecasts than
implied volatilities for the one-day and one-week forecast horizons while implied volatilities perform
at least as accurately as the intraday models for the one-month and three-month horizons. Significant
incremental information is found in historical forecasts, relative to implied volatilities, for the one-day
and one-week forecast horizons but there is no significant evidence for the one-month and three-month
forecast horizons.
131. ROBINSON, P. M. (1978) Statistical inference for a random coefficient autoregressive model,
Scandinavian Journal of Statistics, 5:163-168. No file
132. ROBINSON, P. M. (1994) Semiparametric Analysis of Long Memory Time Series. The Annals of
Statistics, 22(1): 515-539.
We study problems of semiparametric statistical inference connected with long-memory covariance
stationary time series, having spectrum which varies regularly at the origin: There is an unknown selfsimilarity parameter, but elsewhere the spectrum satisfies no parametric or smoothness conditions, it
need not be in Lp, for any p > 1, and in some circumstances the slowly varying factor can be of
unknown form. The basic statistic of interest is the discretely averaged periodogram, based on a
degenerating band of frequencies around the origin. We establish some consistency properties under
mild conditions. These are applied to show consistency of new estimates of the self-similarity
parameter and scale factor. We also indicate applications of our results to standard errors of least
squares estimates of polynomial regression with long-memory errors, to generalized least squares
estimates of this model and to estimates of a "cointegrating" relationship between long-memory time
series
133. ROBINSON, P. M. (1995) Log-Periodogram Regression of Time Series with Long Range
Dependence. Annals of Statistics, 23(3): 1048-1072
This paper discusses the estimation of multiple time series models which allow elements of the spectral
density matrix to tend to infinity or zero at zero frequency and be unrestricted elsewhere. A form of
log-periodogram regression estimate of differencing and scale parameters is proposed, which can
provide modest efficiency improvements over a previously proposed method (for which no satisfactory
theoretical justification seems previously available) and further improvements in a multivariate context
when differencing parameters are a priori equal. Assuming Gaussianity and additional conditions
which seem mild, asymptotic normality of the parameter estimates is established
134. ROBINSON, P. M. (2003) Time series with long memory. Oxford University Press.
135. ROBINSON, P. M., Y. YAJIMA. (2002) Determination of cointegrating rank in fractional
systems. Journal of Econometrics, 106: 217-241.
This paper develops methods of investigating the existence and extent of cointegration in fractionally
integrated systems. We focus on stationary series, with some discussion of extension to
nonstationarity. The setting is semiparametric, so that modelling is effectively confined to a

neighbourhood of frequency zero. We first discuss the definition of fractional cointegration. The initial
step of cointegration analysis entails partitioning the vector series into subsets with identical
differencing parameters, by means of a sequence of hypothesis tests. We then estimate cointegrating
rank by analysing each subset individually. Two approaches are considered here, both of which are
based on the eigenvalues of an estimate of the normalized spectral density matrix at frequency zero.
An empirical application to a trivariate series of oil prices is included.
136. ROBINSON, P. M. (2001) The memory of stochastic volatility models. Journal of Econometrics,
101:195-218.
A valid asymptotic expansion for the covariance of functions of multivariate normal vectors is applied
to approximate autocovariances of time series generated by nonlinear transformation of Gaussian latent
variates, and nonlinear functions of these, with special reference to long memory stochastic volatility
models, serving to identify the roles played by the underlying Gaussian processes and the nonlinear
transformation. Implications for simple stochastic volatility models are examined in detail, with
numerical and Monte Carlo calculations, and applications to cyclic behaviour, cross-sectional and
temporal aggregation, and multivariate models are discussed. ( 2001 Elsevier Science S.A. All
rights reserved.
137. SCHOTMAN, P. C. (2001) When unit roots matter: excess volatility and excess smoothness of
long-term interest rates. Journal of Empirical Finance, 8: 669-694.
This paper re-examines volatility tests of the expectations model of the term structure of .interest
rates. In a multivariate vector autoregression VAR including interest rates, prices, money and output,
we find that the long-term interest rate overreacts to all transitory shocks, and underreacts to all
permanent shocks, irrespective of the number of unit roots and the cointegration structure in the
system.
138. SHIMOTSU, K., P. C. B. PHILLIPS. (2002) Pooled Log Periodogram Regression. Journal of
Time Series Analysis, 23(1), 57-93
Estimation of the memory parameter in time series with long range dependence is considered. A
pooled log periodogram regression estimator is proposed that utilizes a set of mL periodogram
ordinates with L rather than m ordinates as in the conventional log periodogram estimator. Consistency
and asymptotic normality of the pooled regression estimator are established. The pooled estimator is
shown to have smaller asymptotic variance, but larger asymptotic bias, than the conventional log
periodogram estimator. Finite sample performance is assessed in simulations and the methods are
illustrated in an empirical application with inflation and stock returns.
139. SIBBERTSEN, P. (2003) Log-Periodogram estimation of the memory parameter of a longmemory process under trend. Statistics and Probability Letters 61: 261-268.
Many recent papers have used semiparametric methods, especially the log-periodogram regression, to
detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is
proxied by measures such as squared, log-squared and absolute returns. While the evidence for the
existence of long memory is strong using any of these measures, the actual long memory parameter
estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that the choice
of volatility measure makes little difference to the log-periodogram regression estimator if the data is
Gaussian conditional on the volatility process. But, if the data is conditionally leptokurtic, the logperiodogram regression estimator using squared returns has a large downward bias, which is avoided
by using other volatility measures. In U.S. stock return data, I find that squared returns give much
lower estimates of the long memory parameter than the alternative volatility measures, which is
consistent with the simulation results. I conclude that researchers should avoid using the squared
returns in the semiparametric estimation of long memory volatility dependencies.
140. SOWELL, F. (1990) The Fractional Unit Root Distribution. Econometrica, 58(2): 495-505.
Asymptotic distributions are derived for the ordinary least squares (OLS) estimate of a first order
autoregression when the series is fractionally integrated of order 1 + d, for - 1/2 < d < 1/2. The
fractional unit root distribution is introduced to describe the limiting distribution. The unit root
distribution (d = 0) is seen to be an atypical member of this family because its density is nonzero over
the entire real line. For - 1/2 < d < 0 the fractional unit root distribution has nonpositive support, while
if 0 < d < 1/2 the fractional unit root distribution has nonnegative support. Any misspecification of the
order of differencing leads to drastically different limiting distributions. Testing for unit roots is further
complicated by the result that the t statistic in this model only converges when d = 0 Results are proven
by means of functional limit theorems.
141. SUN, Y., P. C. PHILLIPS. (2003) Nonlinear log-periodogram regression for perturbed fractional
processes. Journal of Econometrics, 115(2): 355-389.
This paper studies fractional processes that may be perturbed by weakly dependent time series. The
model for a perturbed fractional process has a components framework in which there may be
components of both long and short memory. All commonly used estimates of the long memory
parameter (such as log periodogram (LP) regression) may be used in a components model where the
data are affected by weakly dependent perturbations, but these estimates can suffer from serious
downward bias. To circumvent this problem, the present paper proposes a new procedure that allows
for the possible presence of additive perturbations in the data. The new estimator resembles the LP
regression estimator but involves an additional (nonlinear) term in the regression that takes account of
possible perturbation effects in the data. Under some smoothness assumptions at the origin, the bias of
the new estimator is shown to disappear at a faster rate than that of the LP estimator, while its
asymptotic variance is inflated only by a multiplicative constant. In consequence, the optimal rate of
convergence to zero of the asymptotic MSE of the new estimator is faster than that of the LP estimator.
Some simulation results demonstrate the viability and the bias-reducing feature of the new estimator
relative to the LP estimator in finite samples. A test for the presence of perturbations in the data is
given.
142. TAQQU, M. S., W. WILLINGER, R. SHERMAN. (1997) Proof of a fundamental result in selfsimilar traffic modeling. Computer comunication review, 27: 5-23. No file
143. TAYLOR, S. (1986) Modeling financial time series, Wiley Chichester.
144. TAYLOR, S. J. (2000) Consequences for Option Pricing of a Long Memory in Volatility. mimeo,
Lancaster University
The economic consequences of a long memory assumption about volatility are documented, by
comparing implied volatilities for option prices obtained from short and long memory volatility
processes. Numerical results are given for options on the S & P 100 index from 1984 to 1998, with
lives up to two years. The long memory assumption is found to have a significant impact upon the term
structure of implied volatilities and a relatively minor impact upon smile effects. These conclusions are
important because evidence for long memory in volatility has been found in the prices of many assets.
145. TAYLOR A. M. R., D. van DIJK (2002) Can Tests for Stochastic Unit Roots Provide Useful
Portmanteau Test for Persistence? Oxford Bulletin of Economics and Statistics, 64(4): 381-397.
In this paper we investigate whether or not the recently developed class of tests of the unit root null
against the alternative of a stochastic unit root forms a useful statistical tool in distinguishing between
time series processes whose degree of persistence is no more than that of a unit root [I(1)] process and
those which display a greater degree of persistence than I(1) series, the stochastic unit root process
being an example of the latter. For a wide range of processes which have been put forward as serious
competitors to the I(1) process, both of a greater and lesser degree of persistence, we find, via
numerical simulation methods, that broadly speaking the stochastic unit root tests do indeed appear to
provide an efficacious diagnostic tool in this regard.
146. TIESLAU, M. A., P. SCHMIDT, R. T. BAILLIE. (1996) A minimum distance estimator for longmemory processes. Journal of Econometrics, 71: 249-264.
This paper considers a minimum distance estimator (MDE) of the differencing parameter of the
fractionally integrated white noise model. The MDE minimizes the difference between sample and
population autocorrelations. The paper presents calculations of asymptotic variances to examine the
efficiency of the MDE relative to that of the MLE. For values of the differencing parameter less than
l/4, the MDE is ,/?;-consistent and asymptotically normal, and the asymptotic variance of the MDE
using the first n autocorrelations approaches that of the MLE as n increases. However, there is a
substantial efficiency loss if low-order autocorrelations are omitted. This implies that a non-parametric
treatment of short-run dynamics will involve a substantial loss of efficiency.
147. TOLVI, J. (2003) Long memory and outliers in stock market returns. Applied Financial
Economics, 13(7), 495-502
Long memory in the form of fractional integration is analysed in stock market returns. Special
emphasis is placed on taking into account the potential bias caused by neglected outliers in the data. It
is first shown by a simulation experiment that outliers will bias the estimated fractional integration
parameter towards zero. In a monthly data set, consisting of stock market indices of 16 OECD
countries, statistically significant long memory is found for three countries. In one of these long
memory is only found when outliers are first taken into account. Copyright 2003 by Taylor and Francis
Group
148. TSAY, W-J. (2000) Long Memory Story of the Real Interest Rate, Economics Letters, 67: 325330.
This paper reexamines the time series properties of the US ex post real interest rate. The estimation of
the ARFIMA model using the Conditional Sum of Squares (CSS) method reveals that the ex post real
interest rate can be well described using a fractionally integrated process.
149. TSAY, W-J., C.-F. CHUNG. (2000) The spurious regression of fractionally integrated processes.
This paper extends the theoretical analysis of the spurious regression and spurious detrending from the
usual I(1) processes to the long memory fractionally integrated processes. It is found that when we
regress a long memory fractionally integrated process on another unrelated long memory fractionally
integrated process, no matter whether these processes are stationary or not, as long as their orders of
integration sum up to a value greater than 0.5, the t ratios become divergent and spurious effects occur.
Our finding suggests that it is the long memory, instead of nonstationarity or lack of ergodicity, that
causes such spurious effects. As a result, spurious effects might happen more often than we previously
believed as they can arise even between stationary series while the usual "rst-di!erencing procedure
may not completely eliminate spurious effects when data possess strong long memory.
150. van DIJK, D., P. H. FRANSES, R. PAAP. (2000) A Nonlinear Long Memory Model for US
Unemployment. Erasmus University Rotterdam, Econometric Institute Research Report EI200030/A
151. VELASCO, C. (2003) Gaussian Semi-Parametric Estimation of Fractional Cointegration, Journal
of Time Series Analysis. 24(3): 345:378.
We analyse consistent estimation of the memory parameters of a nonstationary fractionally
cointegrated vector time series. Assuming that the cointegrating relationship has substantially less
memory than the observed series, we show that a multi-variate Gaussian semi-parametric estimate,
based on initial consistent estimates and possibly tapered observations, is asymptotically normal. The
estimates of the memory parameters can rely either on original (for stationary errors) or on differenced
residuals (for nonstationary errors) assuming only a convergence rate for a preliminary slope estimate.
If this rate is fast enough, semi-parametric memory estimates are not affected by the use of residuals
and retain the same asymptotic distribution as if the true cointegrating relationship were known. Only
local conditions on the spectral densities around zero frequency for linear processes are assumed. We
concentrate on a bivariate system but discuss multi-variate generalizations and show the performance
of the estimates with simulated and real data.
152. WOODWARD, W. A., Q. C. CHENG, H. L. GRAY. (1998) A k-Factor GARMA Long-memory
Model. Journal of Time Series Analysis, 19(4): 485-504. No file
Long-memory models have been used by several authors to model data with persistent
autocorrelations. The fractional and fractional autoregressive moving-average (FARMA) models
describe long-memory behavior associated with an infinite peak in the spectrum at f = 0. The
Gegenbauer and Gegenbauer ARMA (GARMA) processes of Gray, Zhang and Woodward (On
generalized fractional processes. J. Time Ser. Anal. 10 (1989), 233-57) can model long-term periodic
behavior for any frequency 0 < f < 0.5. In this paper we introduce a k-factor extension of the
Gegenbauer and GARMA models that allows for long-memory behavior to be associated with each of
k frequencies in [0, 0.5]. We prove stationarity conditions for the k-factor model and discuss issues
such as parameter estimation, model identification, realization generation and forecasting. A twofactor GARMA model is then applied to the Mauna Loa atmospheric CO2 data. It is shown that this
model provides a reasonable fit to the CO2 data and produces excellent forecasts.
153. WRIGHT, J. H. (2000) Log-Periodogram Estimation of Long Memory Volatility Dependencies
with Conditionally Heavy Tailed Returns. FRB International Finance Discussion Paper No. 2000685. XXX reference must be authorized XXX
Many recent papers have used semiparametric methods, especially the log-periodogram regression,
to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is
proxied by measures such as squared, log-squared and absolute returns. While the evidence for the
existence of long memory is strong using any of these measures, the actual long memory parameter
estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that the choice
of volatility measure makes little difference to the log-periodogram regression estimator if the data is
Gaussian conditional on the volatility process. But, if the data is conditionally leptokurtic, the logperiodogram regression estimator using squared returns has a large downward bias, which is avoided
by using other volatility measures. In U.S. stock return data, I find that squared returns give much
lower estimates of the long memory parameter than the alternative volatility measures, which is
consistent with the simulation results. I conclude that researchers should avoid using the squared
returns in the semiparametric estimation of long memory volatility dependencies.
154. WRIGHT, J. H. (1999) Long Memory in Emerging Market Stock Returns. FRB International
Finance Discussion Paper No. 1999-650. XXX reference must be authorized XXX
Many authors have investigated the possibility of long memory in asset returns. Generally, very little
evidence has been found for long memory in either stock returns or exchange rate returns. This paper
applies the log-periodogram regression to a wide range of emerging market stock returns and finds
some evidence for positive long memory in 7 of the 17 series considered.
155. Not available now WU, P., (1992) Testing Fractionally Integrated Time Series. Mimeo, Victoria
University, Wellington. No file.
156. YOON, G. (2003) Stochastic unit roots, long memory, and I(1.5). mimeo, Pusan National
University and University of York.
The long memory and stochastic unit root models have evolved almost independently. This paper
shows that they are closely related each other by proving that a stochastic unit root process is ()1.5 I .
Empirical evidence for ()1.5 I , over ()1 I or ()2 I , is provided for U.S. CPI, M2 money stock, and
macroeconomic variables in the extended Nelson-Plosser data set. A possible extension to multivariate
cases is also briefly discussed.
157. ZAFFARONI, P. (2003) Gaussian inference on certain long-range dependent volatility models.
Journal of Econometrics, 115(2): 199-258.
For a class of long memory volatility models,we establish the asymptotic distribution theory of
the Gaussian estimator and the Lagrange multiplier test.Both the case of estimation of martingale
di erence and ARMA levels are considered.A Monte Carlo exercise is presented to assess the
small sample properties of the Gaussian estimator and the Lagrange multiplier test.An empirical
application,using foreign exchange rates and stock indexes returns,suggests the potential of
these models to capture the dynamic features of the data.

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LONG MEMORY (Last revision 19/05/2004)

AGIAKLOGLOU, C., P. NEWBOLD, M. WOHAR. (1992) Bias in an Estimator of the Fractional

Abstract not available

ANDERSEN, T. G., T. BOLLERSLEV. (1997) Heterogeneous Information Arrivals and Return

Abstract in PDF format

ANDREWS, D. W. K., O. LIEBERMAN. (2002) Higher-order Improvements of the Parametric

Abstract in PDF format

ANDREWS, D. W. K., P. GUGGENBERGER. (2003) A Bias-Reduced Log-Periodogram

Abstract in PDF format

ARTECHE, J., P. M. ROBINSON (2000) Semiparametric Inference in Seasonal and Cyclical

ARTECHE, J. (2004) Gaussian semiparametric estimation in long memory in stochastic volatility

BAILLIE, R. T. (1996) Long memory processes and fractional integration in econometrics.

27. BHANSALI, R. J., P. S. KOKOSZK. (2001) Prediction of Long-Memory Time Series: An

51. DIAMANDIS, P. F., D. A. GEORGOUTSOS, G. P. KORETAS. (2000) The monetary model in

68. GIL-ALANA, L. A., P. M. ROBINSON. (2001) Testing of seasonal fractional integration in UK

120. MARINUCCI, D., P. M. ROBINSON. (2001) Semiparametric fractional cointegration analysis.

nonstationarity. The setting is semiparametric, so that modelling is effectively confined to a

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