On the effect of seasonal adjustment on the log-periodogram regression

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 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.