Template-Type: ReDIF-Paper 1.0
Author-Name: Ooms, M.
Author-Name-Last: Ooms
Author-Name-First: Marius
Author-Person: poo1
Author-Name: Hassler, U.
Author-Name-Last: Hassler
Title: A Note on the Effect of Seasonal Dummies on the Periodogram Regression
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).
Creation-Date: 1996-01-01
File-URL: https://repub.eur.nl/pub/1385/1385_c.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9629-/A
Keywords: long memory, seasonal adjustment
Handle: RePEc:ems:eureir:1385