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 …

Reference to Methods and Applications, Cambridge University Press, Cambridge. Beran, J. (1994), Statistics for Long-Memory …—176. Kokoszka, P. & Mikosch, T. (1997), ‘The integrated periodogram for long-memory processes with finite or infinite variance …), ‘Semiparametric analysis of long-memory time series’, Annals of Statistics 22, 515—539. 17 Robinson, P. M. (1994b), Time series with …

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 …