Seasonal long memory in the US monthly monetary aggregate
The seasonal structure of the US monthly M1 monetary aggregate is investigated in this article by means of seasonal long memory processes. Using a version of the tests proposed by Robinson in 1994, the results show that the orders of integration are higher when seasonal monthly differences are used rather than quarterly or first differences. Thus, the dependence between observations seems to be stronger when seasonal monthly roots are taken into account.
Year of publication: |
2001
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Authors: | Gil-Alana, Luis |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 8.2001, 9, p. 573-575
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Publisher: |
Taylor & Francis Journals |
Saved in:
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