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|Title:||Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates|
|Keywords:||Seasonality, Long Memory, Monetary Aggregates|
|Citation:||Economics and Finance Discussion Paper, Brunel University, 06-13|
|Abstract:||Monthly seasonally unadjusted data can exhibit roots with possibly fractional orders of integration, corresponding to the monthly but also to the quarterly and to the long-run or trending components of the series. In this paper we use a procedure which is suitable to test simultaneously for the order of integration of each of these components and apply it to several US monetary aggregates.|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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