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:	1998
Authors:	Ooms, Marius
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Regressionsanalyse \| Regression analysis \| Saisonale Schwankungen \| Seasonal variations
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 1996 erstellt Volltext nicht verfügbar
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C21 - Cross-Sectional Models; Spatial Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014070151