A Note on the Effect of Seasonal Dummies on the Periodogram Regression

Marius Ooms and Uwe Hassler

No EI 9629-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: 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).

Keywords: long memory; seasonal adjustment (search for similar items in EconPapers)
Date: 1996-01-01
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