Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2023
This paper uses a seasonal long-memory model to capture the behaviour of the US Industrial Production Index (IPI) over … a seasonal fractional integration model with an order of integration equal to 0.14 for the original data and 0.29 for … their logged values, which implies the presence of a seasonal long-memory mean reverting pattern. …