Long Memory At The Long-Run And The Seasonal Monthly Frequencies In The Us Money Stock
AbstractIn 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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Bibliographic InfoPaper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 05-16.
Length: 9 pages
Date of creation: Sep 2005
Date of revision:
Contact details of provider:
Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
Other versions of this item:
- Guglielmo Maria Caporale & Luis Gil-Alana, 2006. "Long memory at the long-run and the seasonal monthly frequencies in the US money stock," Applied Economics Letters, Taylor & Francis Journals, vol. 13(15), pages 965-968.
- NEP-ALL-2005-11-05 (All new papers)
- NEP-ETS-2005-11-05 (Econometric Time Series)
- NEP-MAC-2005-11-05 (Macroeconomics)
- NEP-RMG-2005-11-05 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," Post-Print halshs-00646178, HAL.
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