ON THE EFFECT OF SEASONAL ADJUSTMENT ON THE LOG-PERIODOGRAM REGRESSION

Authors
OOMS M HASSLER U
Citation
M. Ooms et U. Hassler, ON THE EFFECT OF SEASONAL ADJUSTMENT ON THE LOG-PERIODOGRAM REGRESSION, Economics letters, 56(2), 1997, pp. 135-141
Citations number
11
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
56
Issue
2
Year of publication
1997
Pages
135 - 141
Database
ISI
SICI code
0165-1765(1997)56:2<135:OTEOSA>2.0.ZU;2-R
Abstract
We discuss how prior regression on seasonal dummies leads to singulari ties in log-periodogram regression procedures for the detection of lon g memory. We suggest a modified procedure. We illustrate the problems using monthly inflation data from [Hassler and Welters, 1995, Long Mem ory in Inflation Rates: International Evidence, Journal of Business an d Economic Statistics 13, 37-46]. Our new estimates reconfirm their ba sic finding. (C) 1997 Elsevier Science S.A.