Faculty of Economics and Business Administration Publications Database

On the Effect of Seasonal Adjustment on the Log-Periodogram Regression

Ooms, Marius
Volume: 56
Number: 2
Pages: 135 - 141
ISSN-Print: 0165-1765
Year: 1997
Keywords: Long memory; Seasonal adjustment
Abstract: We discuss how prior regression on seasonal dummies leads to singularities in log-periodogramregression 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, Long Memory in Inflation Rates: International Evidence, Journal of Business and Economic Statistics 13, 37–46]. Our new estimates reconfirm their basic finding.