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...

This paper analyses weekly prices for mackerel landed by the inshore fleet at the ports of the Basque Country in 1995-2008, using new econometric techniques never before applied to the fishing market. The idea is to learn to what extent fishermen can pass on the effects of negative shocks (e.g....

Several semiparametric estimates of the memory parameter in standard long memory time series are now available. They consider only local behaviour of the spectrum near zero frequency, about which the spectrum is symmetric. However, long-range dependence can appear as a spectral pole at any...

In this article we want to examine the time series behaviour of the UK unemployment using new statistical tools based on long memory nonstationary processes. In particular, we use a procedure developed by Robinson (1994) that permit us to simultaneously consider unit and fractional roots at the...

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...