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|Title:||Long Memory At The Long-Run And The Seasonal Monthly Frequencies In The Us Money Stock|
|Keywords:||Seasonality, Long Memory, Fractional Integration|
|Citation:||Economics and Finance Working papers, Brunel University, 05-16|
|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.|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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