Long Memory At The Long-Run And The Seasonal Monthly Frequencies In The Us Money Stock
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.
|Date of creation:||Sep 2005|
|Contact details of provider:|| Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK|
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"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
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Journal of Econometrics,
Elsevier, vol. 55(1-2), pages 305-328.
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