The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...

The labour force surveys (LFSs) on all Eurostat countries underwent a substantial redesign in January 2021. To ensure coherent labour market time series for the main indicators in the Norwegian LFS, we model the impact of the redesign. We use a state-space model that takes explicit account of...

The aim of this article is to examine the process of economic growth in the regions of Chile using a time series approach.In particular,we test the hypothesis of a unit root in the log of the ratios of per capita product between every possible pair taken from the 13 regions.The ‘acceptance’...

We examine if US inflation rates series can be characterized by a long-memory model, by a model with occasional level shifts or by a new model, which jointly captures the two features. Through simulations we show that this new model can be usefully applied in practice. For 23 inflation rate...

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,...

The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion...