LONG MEMORY AT THE LONG-RUN AND THE SEASONAL MONTHLY FREQUENCIES IN THE US MONEY STOCK

Guglielmo Maria Caporale () and Luis Alberiko Gil-Alana ()

Economics and Finance Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University

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.

New Economics Papers: this item is included in nep-ets, nep-mac and nep-rmg
Date: 2005-09
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Related works:
Journal Article: Long memory at the long-run and the seasonal monthly frequencies in the US money stock (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:bru:bruedp:05-16

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