1996
A Note on the Effect of Seasonal Dummies on the Periodogram Regression
Publication
Publication
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).
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| hdl.handle.net/1765/1385 | |
| Econometric Institute Research Papers | |
| Organisation | Erasmus School of Economics |
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Ooms, M., & Hassler, U. (1996). A Note on the Effect of Seasonal Dummies on the Periodogram Regression (No. EI 9629-/A). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1385 |
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