On the effect of seasonal adjustment on the log-periodogram regression

DOI10.1016/S0165-1765(97)81891-5zbMath0896.90059MaRDI QIDQ1389567

Marius Ooms, Uwe Hassler

Publication date: 30 June 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

long memoryseasonal adjustment

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (5)

Deterministic seasonality versus seasonal fractional integration ⋮ On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity ⋮ On the invertibility of seasonally adjusted series ⋮ The CSS and the two-staged methods for parameter estimation in SARFIMA models ⋮ A general frequency domain estimation method for Gegenbauer processes

Cites Work

• Unnamed Item
• Stochastic linear trends. Models and estimators
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Parameter estimation in low order fractionally differenced ARMA processes
• Log-periodogram regression of time series with long range dependence
• ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE
• Fractional differencing
• AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES

This page was built for publication: On the effect of seasonal adjustment on the log-periodogram regression