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

Guglielmo Maria Caporale and Luis Gil-Alana

Applied Economics Letters, 2006, vol. 13, issue 15, 965-968

Abstract: 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.

Date: 2006
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Working Paper: LONG MEMORY AT THE LONG-RUN AND THE SEASONAL MONTHLY FREQUENCIES IN THE US MONEY STOCK (2005)
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DOI: 10.1080/13504850500425899

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