Long memory at the long-run and the seasonal monthly frequencies in the US money stock

Abstract

This study shows that the monthly structure of the US money stock can be specified in terms of a long-memory process, with roots at both the zero and the seasonal monthly frequencies. It uses a procedure that enables one to test simultaneously for the roots at all these frequencies. The results show that the root at the long-run or zero frequency plays a much more important role than the seasonal one, though the latter should also be taken into account.

Acknowledgements

Luis A. Gil-Alana gratefully acknowledges financial support from the PIUNA Project at the University of Navarra, Pamplona, Spain.