Seasonal long memory in the US monthly monetary aggregate

Luis Gil-Alana

Applied Economics Letters, 2001, vol. 8, issue 9, 573-575

Abstract: 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.

Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:8:y:2001:i:9:p:573-575

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850010026078

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().