Persistence In Time Series Research Articles

A measure of persistence in daily pound exchange rates

An alternative procedure to that of Lo is proposed for assessing whether there is significant evidence of persistence in time series. The technique estimates the Hurst exponent itself, and significance testing is based on an application of bootstrapping using surrogate data. The method is applied to a set of 10 daily pound exchange rates. A general lack of long-term memory is found to characterize all the series tested, in sympathy with the findings of a number of other recent papers which have used Lo's techniques.

Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research

When applied to persistent time series, the Hodrick-Prescott filter can generate business cycle dynamics even if none are present in the original data. Hence the presence of business cycles in HP filtered data does not imply that there are business cycles in the original data. For example, we show that standard real business cycle models do not generate business cycle dynamics in pre-filtered data and that the business cycles observed in HP filtered data are due to the filter. As another example, we show that under plausible assumptions HP stylized facts are determined primarily by the filter and reveal little about the dynamics of the underlying data.

ARE FLUCTUATIONS IN U.K. OUTPUT TRANSITORY OR PERMANENT?*

This paper considers whether fluctuations in U.K. output have been transitory or permanent. Annual data from 1855 and quarterly data from 1955 are employed and a variety of methods designed estimate the extent of persistence in time series are used. The results present something of a paradox. It is found shocks to output are highly persistent when recent quarterly data but when the long-run of annual data is split into sub-periods, with the years 1919-21 omitted, much less evidence of persistent is encountered. These findings are consistent with other recent evidence concerning the behavior of U.K. output and suggest that the structural shocks occurring to the economy at the end of the First World War altered the process generating output itself. Copyright 1991 by Blackwell Publishers Ltd and The Victoria University of Manchester

Continuous plankton records: Persistence in time-series and the population dynamics of Pseudocalanus elongatus and Acartia clausi

Rates of population increase in early spring and the sizes of overwintering stocks were calculated for the planktonic copepods Pseudocalanus elongatus and Acartia clausi for a set of areas covering the open waters of the north-east Atlantic Ocean and the North Sea for the period 1948 to 1979. For both species, the rates of population increase were higher in the open ocean than in the North Sea and appear to be related to temperature. The overwintering stocks in the North Sea were larger than those in the open ocean and are probably related to phytoplanton concentration. P. elongatus shows higher overwintering stocks and lower rates of population increase than A. clausi, resulting in different levels of persistence in the stocks of the two species. It is suggested that this difference in persistence is responsible for differences between the two species with respect to geographical distribution in summer and different patterns of year-to-year fluctuations in abundance.

Continuous plankton records: Persistence in time-series of annual means of abundance of zooplankton

Time-series of annual means of abundance of zooplankton of the north-east Atlantic Ocean and the North Sea, for the period 1948 to 1977, show considerable associations between successive years. The seasonal dynamics of the stocks appear to be consistent with at least a proportion of this being due to inherent persistence from year-to-year. Experiments with a simple model suggest that the observed properties of the time-series cannot be reproduced as a response to simple random forcing. The extent of trends and long wavelength variations can be simulated by introducing fairly extensive persistence into the perturbations, but this underestimates the extent of shorter wavelength variability in the observed time-series. The effect of persistence is to increase the proportion of trend and long wavelength variability in time-series of annual means, but stocks can respond to short wavelength perturbations provided these have a clearly defined frequency.

Fractional Brownian Motions, Fractional Noises and Applications

Fractional Brownian Motions, Fractional Noises and Applications