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

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  • Guglielmo Maria Caporale

    ()

  • Luis A. Gil-Alana

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.

Suggested Citation

  • Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Memory At The Long-Run And The Seasonal Monthly Frequencies In The Us Money Stock," Economics and Finance Discussion Papers 05-16, Economics and Finance Section, School of Social Sciences, Brunel University.
  • Handle: RePEc:bru:bruedp:05-16
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    References listed on IDEAS

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    1. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    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.
    3. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
    4. 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.
    5. Gil-Alana, Luis A., 2002. "Seasonal long memory in the aggregate output," Economics Letters, Elsevier, vol. 74(3), pages 333-337, February.
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    Cited by:

    1. Dominique Guegan & Laurent Ferrara, 2008. "Fractional and seasonal filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00646178, HAL.
    2. repec:hal:journl:halshs-00646178 is not listed on IDEAS

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