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A Note on the Effect of Seasonal Dummies on the Periodogram Regression

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Author Info
Ooms, M.
Hassler, U. (Erasmus Econometric Institute)

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Abstract

We discuss how prior regression on seasonal dummies leads to singularities in periodogram regression procedures for the detection of long memory. We suggest a modified procedure. We illustrate the problems using monthly inflation data from Hassler and Wolters (1995).

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File URL: http://hdl.handle.net/1765/1385
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Publisher Info
Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number ometric Institute Reports;EI-9629/A Revision_Date: 2008-12-16.

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Date of creation: 01 Jan 1996
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Handle: RePEc:dgr:eureir:1765001385

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Related research
Keywords: long memory; seasonal adjustment;

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References listed on IDEAS
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  1. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
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Cited by:
(explanations, 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.)

  1. G. K. Randolph TAN, 2004. "Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade," Econometric Society 2004 Far Eastern Meetings 732, Econometric Society. [Downloadable!]
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This page was last updated on 2009-12-16.

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