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L A Gil-Alaña and Peter M Robinson
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 viewpoi...Read more...
Josu Artech and Peter M Robinson
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 symmetri...Read more...
Andrew C Harvey and Andrew Scott
This paper examines the implications of treating seasonality as an unobserved component which changes slowly over time. This approach simplifies the specification of dynamic relationships by separating non-seasonal from ...Read more...