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

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Author Info
Guglielmo Maria Caporale ()
Luis A. Gil-Alana

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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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Publisher 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
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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., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
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  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. [Downloadable!] (restricted)
  3. Gil-Alana, Luis A., 2002. "Seasonal long memory in the aggregate output," Economics Letters, Elsevier, vol. 74(3), pages 333-337, February. [Downloadable!] (restricted)
  4. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December. [Downloadable!] (restricted)
  5. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December. [Downloadable!] (restricted)
  6. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328. [Downloadable!] (restricted)
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  7. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114. [Downloadable!]
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