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http://bura.brunel.ac.uk/handle/2438/1015| 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/1015 |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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