A Note on the Effect of Seasonal Dummies on the Periodogram Regression

We discuss how prior regression on seasonal dummies leads to singularities in periodogram regression procedures for the detection of long memory. We suggest a modified procedure. We illustrate the problems using monthly inflation data from Hassler and Wolters (1995).

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Year of publication:	1996-01-01
Authors:	Ooms, M. ; Hassler, U.
Institutions:	Erasmus University Rotterdam, Econometric Institute
Subject:	long memory \| seasonal adjustment

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Extent:	application/pdf
Series:	Econometric Institute Report. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureir Number EI 9629-/A
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004972178