Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/981
Title: Long Memory At The Long-Run And The Seasonal Monthly Frequencies In The Us Money Stock
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Seasonality, Long Memory, Fractional Integration
Issue Date: 2005
Publisher: Brunel University
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.
URI: http://bura.brunel.ac.uk/handle/2438/981
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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