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Long Memory At The Long-Run And The Seasonal Monthly Frequencies In The Us Money Stock

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  • Guglielmo Maria Caporale

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  • Luis A. Gil-Alana

Abstract

In this paper we show that the monthly structure of the US money stock can be specified in terms of a long-memory process, with roots at both the zero and the seasonal monthly frequencies. We use a procedure that enables us to test simultaneously for the roots at all these frequencies. The results show that the root at the long-run or zero frequency plays a much more important role than the seasonal one, though the latter should also be taken into account.

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File URL: http://www.brunel.ac.uk/329/efwps/05-16.pdf
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Bibliographic Info

Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 05-16.

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Length: 9 pages
Date of creation: Sep 2005
Date of revision:
Handle: RePEc:bru:bruedp:05-16

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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

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  1. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
  2. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  3. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
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  1. repec:hal:journl:halshs-00646178 is not listed on IDEAS
  2. repec:hal:cesptp:halshs-00646178 is not listed on IDEAS

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