There are two crucial conditions for cross-sectional aggregation of AR(1) parameters to produce long memory: 1) heterogeneity and 2) proximity to the unit root. We analyze role of moments, namely the mean and variance, of the distribution of the AR(1) coefficients in generating long memory. The...

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

The paper considers tests for structural change in time series regression models where both regressors and residuals may exhibit long range dependence. The limiting distribution of the test statistic depends on unknown parameters and is approximated by a bootstrap procedure. The asymptotic...

The possibility of confusing long memory behavior with structural changes need to specify what kind of long memory behavior is concerned in literature and applications. One attraction of long memory models is that they imply different long run predictions and effects of shocks to conventional...

In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...

This paper supplements Dark (2003c) where bivariate error correction GARCH and FIGARCH models between the All Ordinaries Index and its Share Price Index (SPI) futures are used to estimate dynamic minimum variance hedge ratios (MVHRs). Dark (2003c) documents the importance of allowing for long...

Long memory models have been successfully used to investigate the dynamic time-series behavior of inflation rates based on the CPI and WPI. However, almost no attention has been paid to import and export price inflation, nor to the terms of trade which they make up. This article investigates the...