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On the effect of seasonal adjustment on the log-periodogram regression. (English) Zbl 0896.90059

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 Hassler and 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:

91B84 Economic time series analysis
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