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Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product

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  • Ghysels, Eric

Abstract

Unit-root tests applied to the postwar seasonally adjusted quarterly gross national product series strongly support the null hypothesis of the presence of a unit root in the data-generating process. Evidence reported here with seasonally unadjusted data is far less conclusive. It is explained why seasonal-adjustment procedures may alter the outcome of conventional tests.

Suggested Citation

  • Ghysels, Eric, 1990. "Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 145-152, April.
    • Handle: RePEc:bes:jnlbes:v:8:y:1990:i:2:p:145-52
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