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Seasonal adjustment and cointegration

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  • Jesus Otero

    ()

  • Jeremy Smith

    ()

Abstract

We examine the effects of seasonal adjustment filters on the size and power of ADF and PP residual-based cointegration tests via a Monte Carlo and an empirical application. Our results indicate that the use of filters distorts the size and reduces the power of these tests.

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File URL: http://www.urosario.edu.co/FASE1/economia/documentos/pdf/bi32.pdf
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Bibliographic Info

Paper provided by UNIVERSIDAD DEL ROSARIO in its series BORRADORES DE INVESTIGACIÓN with number 003483.

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Length: 11
Date of creation: 01 Dec 2002
Date of revision:
Handle: RePEc:col:000091:003483

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Related research

Keywords: Seasonal adjustment; linear filters; cointegration;

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  1. Robert B. Barsky & Jeffrey A. Miron, 1989. "The Seasonal Cycle and the Business Cycle," NBER Working Papers 2688, National Bureau of Economic Research, Inc.
  2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  3. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
  4. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
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