Seasonal adjustment and cointegration
AbstractWe 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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Bibliographic InfoPaper provided by UNIVERSIDAD DEL ROSARIO in its series BORRADORES DE INVESTIGACIÓN with number 003483.
Date of creation: 01 Dec 2002
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