Long memory at the long-run and the seasonal monthly frequencies in the US money stock

This study shows 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. It uses a procedure that enables one 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.

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Year of publication:	2006
Authors:	Caporale, Guglielmo Maria ; Gil-Alana, Luis
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 13.2006, 15, p. 965-968
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005629537