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).

Econometric Institute Research Papers
Erasmus School of Economics

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