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|
|Date of revision:|
|Contact details of provider:|| Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK|
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- 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.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
- 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.
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