developing countries since 1950. Relying upon recent econometric methodologies (nonstationary long-memory models, wavelet models …

Keywords: Fractional Cointegration; Fractional Integration; Whittle Likelihood; Long Memory; Realized Volatility … dependence. Sometimes, z t is said to have intermediate memory, short memory, and long memory when d<0, d =0,andd>0, respectively … the errors both have long memory, they are potentially correlated even at very long hori- zons, thus rendering the OLS …

that is not too persistent. Keywords: Fractional integration, long memory, outliers, measurement errors, structural change … fractionally integrated processes as a convenient way of describing the long memory properties of many time series, see e.g. Sowell … for fractional integration and long memory typically cover a wide span of data sampled annually or quarterly there are …

Central Limit Theorem; Goodness- of-fit Test; Integrated Periodogram; Long Memory; Narrow-band Frequency Domain Least Squares … process has only weak dependence. Sometimes (X at ) is said to have negative memory, short memory, or long memory when H a < 1 …/2, H a =1/2,orH a > 1/2, respectively. Throughout this paper we shall be concerned with the long memory case, since this is …

We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional … cointegration. This concept allows derivation of useful long-run relations even among stationary long memory processes. The approach … estimator of the cointegration vector in the stationary long memory case. The new theory requires a general theorem on the …

long memory and short memory in the data. It is shown that using this approach the unit root hypothesis is rejected but … unemployment exhibits long memory. …

to long memory and nonlinearities. We start from microfoundations, using standard RBC model of monopolistic competition …

heterogeneous individual firms are subject to temporary technology shocks will be characterised by long memory and nonlinearity. We …

±cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical …