A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...

-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming that left-right orientations are highly resistant to change versus the irrelevance theory anticipating a move of mass publics towards the center of the left-right continuum....

Based on simple time series plots and periodic sample autocorrelations, we document that monthly river flow data display long memory, in addition to pronounced seasonality. In fact, it appears that the long memory characteristics vary with the season. To describe these two properties jointly, we...

We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a...

We discuss computational aspects of likelihood-based specification, estimation,inference, and forecasting of possibly nonstationary series with long memory. We use the \\ARFIMA$(p,d,q)$ model with deterministic regressors and we compare sampling characteristics of approximate and exact...

We discuss how prior regression on seasonal dummies leads to singularities in periodogram regression procedures for the detection of long memory. We suggest a modified procedure. We illustrate the problems using monthly inflation data from Hassler and Wolters (1995).

We analyze the behavior of experts who quote forecasts for monthly SKU-level sales data where we compare data before and after the moment that experts received different kinds of feedback on their behavior. We have data for 21 experts located in as many countries who make SKUlevel forecasts for...

This paper reports on simulation results for the Wald test for ∝1=∝2=0 in the regression model [Please open the additional file (8526_math.png) to see the regression model] for the case ĸ is known and for the case where ĸ has to be estimated using nonlinear least squares (NLS). This last...

__Abstract__ This paper puts forward a new data collection method to measure daily consumer confidence at the individual level. The data thus obtained allow to statistically analyze the dynamic correlation of such a consumer confidence indicator and to draw inference on transition rates. The...

In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean...