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Seasonal Adjustment and Measuring Persistence in Output

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  • Jaeger, Albert
  • Kunst, Robert M

Abstract

We examine the robustness of persistence measurement to different seasonal adjustment procedures. The empirical analysis is based on U.S. data for real gross national product (GNP). Officially published data on U.S. GNP are seasonally adjusted by Census X-11. We find that this series gives significantly higher measures of persistence than GNP data adjusted by alternative seasonal adjustment methods. Some Monte Carlo evidence in support of this conclusion is also presented. Copyright 1990 by John Wiley & Sons, Ltd.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 5 (1990)
Issue (Month): 1 (January-March)
Pages: 47-58

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Handle: RePEc:jae:japmet:v:5:y:1990:i:1:p:47-58

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Cited by:
  1. Perron, Pierre, 1992. "Racines unitaires en macroéconomie : le cas d’une variable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 325-356, mars et j.
  2. Daniel Dias & Carlos Robalo Marques, 2005. "Using Mean Reversion as a Measure of Persistence," Working Papers w200503, Banco de Portugal, Economics and Research Department.
  3. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
  4. Lenz, Carlos, 2003. "A different look at the Census X-11 filter," Economics Letters, Elsevier, vol. 79(1), pages 1-6, April.
  5. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
  6. Paqué, Karl-Heinz, 1991. "Structural wage rigidity in West Germany 1950 - 1989: Some new econometric evidence," Kiel Working Papers 489, Kiel Institute for the World Economy.
  7. Ramsay, James O. & Ramsey, James B., 2002. "Functional data analysis of the dynamics of the monthly index of nondurable goods production," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 327-344, March.
  8. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
  9. Uwe Hassler & Matei Demetrescu, 2005. "Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 225(4), pages 413-426, July.
  10. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.

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