This paper analyses trends and persistence in air pollution levels in 88 US metropolitan areas using fractional integration methods. The results indicate that the differencing parameter d is higher than 0 in 38 of the series, which supports the hypothesis of long-memory behaviour and implies...

We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular...