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The Effects Of Seasonal Adjustment Linear Filters On Cointegrating Equations: A Monte Carlo Investigation

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  • Otero, Jesus
  • Smith, Jeremy

Abstract

In this paper we assess, via Monte Carlo Simulations, the effects of some seasonal adjustment linear filters on cointegrating regressions. We find that the use of filters has adverse consequences in terms of the power of the Augmented Dickey and Fuller and Phillips and Perron tests of cointegration.
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  • Otero, Jesus & Smith, Jeremy, 1966. "The Effects Of Seasonal Adjustment Linear Filters On Cointegrating Equations: A Monte Carlo Investigation," Economic Research Papers 272847, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:272847
    DOI: 10.22004/ag.econ.272847
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    8. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    9. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393, Decembrie.
    10. Santiago Herrera A. & Juan Manuel Julio, 1993. "La demanda de dinero en el corto y en el largo plazo en Colombia," Coyuntura Económica, Fedesarrollo, vol. 23(1), pages 91-107, April.
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    12. Roberto Steiner Sampedro, 1988. "La Demanda Por Medios De Pago, Efectivo Y Depositos En Cuenta Corriente: 1967-1986," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 7(13), pages 69-85, June.
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    14. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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    Cited by:

    1. Diego Winkelried Quezada, 2003. "Indicadores adelantados de la inflación en el Perú," Monetaria, CEMLA, vol. 0(4), pages 345-382, octubre-d.
    2. Héctor A. Valle S., 2003. "Pronósticos de inflación para Guatemala hechos con modelos ARIMA y VAR," Monetaria, CEMLA, vol. 0(4), pages 407-428, octubre-d.
    3. Cubadda, Gianluca, 1999. "Common Cycles in Seasonal Non-stationary Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May-June.
    4. Claudia Arguedas & Jorge Requena, 2003. "La dolarización en Bolivia: una estimación de la elasticidad de sustitución entre monedas," Monetaria, CEMLA, vol. 0(4), pages 383-406, octubre-d.
    5. Jesús R. González García, 2003. "La dinámica del consumo privado en México: un análisis de cointegración con cambios de régimen," Monetaria, CEMLA, vol. 0(4), pages 429-449, octubre-d.

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    More about this item

    Keywords

    Agricultural and Food Policy; Research Methods/ Statistical Methods;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other

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