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Zbl 0896.90059
Ooms, Marius; Hassler, Uwe
On the effect of seasonal adjustment on the log-periodogram regression. (English)
[J] Econ. Lett. 56, No.2, 135-141 (1997). ISSN 0165-1765

Summary: We discuss how prior regression on seasonal dummies leads to singularities in log-periodogram regression procedures for the detection of long memory. We suggest a modified procedure. We illustrate the problems using monthly inflation data {\it Hassler} and {\it Wolters} [Long memory in inflation rates: international evidence, Journal of Business and Economic Statistics 13, 37-46 (1995)]. Our new estimates reconfirm their basic finding.

MSC 2000:: *91B84 Economic time series analysis

Keywords: long memory; seasonal adjustment

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