On the effect of seasonal adjustment on the log-periodogram regression. (English) Zbl 0896.90059

Summary: We discuss how prior regression on seasonal dummies leads to singularities in log-periodogram regression procedures for the detection of long memory. We suggest a modified procedure. We illustrate the problems using monthly inflation data Hassler and Wolters [Long memory in inflation rates: international evidence, Journal of Business and Economic Statistics 13, 37-46 (1995)]. Our new estimates reconfirm their basic finding.


91B84 Economic time series analysis
Full Text: DOI


[1] Boes, D. C.; Davis, R. A.; Gupta, S. N., Parameter estimation in low-order fractionally differenced ARMA processes, Stochastic Hydrology and Hydraulics, 3, 97-110 (1989) · Zbl 0687.62079
[2] Fox, R.; Taqqu, M. S., Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series, The Annals of Statistics, 14, 517-532 (1986) · Zbl 0606.62096
[4] Hassler, U.; Wolters, J., Long memory in inflation rates: International evidence, Journal of Business and Economic Statistics, 13, 37-46 (1995)
[5] Hosking, J. R.M, Fractional differencing, Biometrika, 68, 165-176 (1981) · Zbl 0464.62088
[6] Hurvich, C. M.; Beltrao, K. I., Automatic semiparametric estimation of the memory parameter of a long-memory process, Journal of Time Series Analysis, 15, 285-302 (1994) · Zbl 0807.62076
[7] Laroque, G., Analyse d’une Méthode de Désaisonnalisation: le Programme X 11, du US Bureau of Census, Version Trimestrielle, Annales de l’INSEE, 28, 105-127 (1977)
[8] Maravall, A., Stochastic linear trends, Journal of Econometrics, 56, 5-37 (1993) · Zbl 0800.62801
[10] Robinson, P. M., Log-periodogram regression of time series with long range dependence, Annals of Statistics, 23, 1048-1072 (1995) · Zbl 0838.62085
[11] Samarov, A.; Taqqu, M. S., On the efficiency of the sample mean in long-memory noise, Journal of Time Series Analysis, 9, 191-210 (1988) · Zbl 0637.62085
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.