Certain “spurious long memory” processes mimic the behavior of fractional integration in that the variance of their sample mean behaves like that of a fractionally integrated process of some order D. We show, however, experimentally that a fractional integration test may discriminate between...

This chapter reviews the principal methods used by researchers when forecasting seasonal time series. In addition, the often overlooked implications of forecasting and feedback for seasonal adjustment are discussed. After an introduction in Section 1, Section 2 examines traditional univariate...

A new approach to detect persistence change in fractionally integrated models based on recursive forward and backward estimation of regression-based Lagrange Multiplier tests is proposed. This procedure generalizes approaches for conventional integrated processes to the fractional integration...

Purpose – The purpose of this paper is to analyze possible causal relationships between exports, inward foreign investment and economic growth in Portugal and identify their direction. Design/methodology/approach – The paper uses a three‐stage procedure based on unit root, cointegration...

Purpose – The purpose of this paper is to analyze possible causal relationships between exports, inward foreign investment and economic growth in Portugal and identify their direction. Design/methodology/approach – The paper uses a three-stage procedure based on unit root, cointegration and...

This chapter reviews the principal methods used by researchers when forecasting seasonal time series. In addition, the often overlooked implications of forecasting and feedback for seasonal adjustment are discussed. After an introduction in Section 1, Section 2 examines traditional univariate...