Testing for seasonal fractional integration in quarterly time series

Paramsothy Silvapulle
Many series such as agricultural commodity prices and economic and financial series, exhibit strong dependence-long memory property. Since many time series also exhibit seasonal patterns, this paper considers a number of tests - namely Hassler's extension of Geweke and Porter-Hudack's (1983) (GPH) semi-parametric test, Robinson's frequency domain score test and Silvapulle's time domain test - to assess the long memory properties of quarterly time series at zero and sesonal frequencies. Very little is known about...