We propose an automatic model order selection procedure for k-factor GARMA processes. The procedure is based on sequential tests of the maximum of the periodogram and semiparametric estimators of the model parameters. As a byproduct, we introduce a generalized version of Walker's large sample...

We consider a large class of structural change processes that generate spurious long memory. Among others, this class encompasses structural breaks as well as random level shift processes and smooth trends. The properties of these processes are studied based on a simple representation of their...

We derive the properties of the periodogram local to the zero frequency for a large class of spurious long-memory processes. The periodogram is of crucial importance in this context, since it forms the basis for most commonly used estimation methods for the memory parameter. The class considered...

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a...

We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo...

In this paper, we introduce the concept of fractional integration for spatial autoregressive models. We show that the range of the dependence can be spatially extended or diminished by introducing a further fractional integration parameter to spatial autoregressive moving average models (SARMA)....