Please use this identifier to cite or link to this item:
Title: Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Seasonality, Long Memory, Monetary Aggregates
Issue Date: 2006
Publisher: Brunel University
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

Files in This Item:
File Description SizeFormat 
0613.pdf134.92 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.