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http://bura.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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