Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp
AbstractUnit Root Tests Applied to Post-War Seasonally Adjusted Quarterly Gnp 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. the Results Obtained Here Are Complementary to Bhargava (1987).
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Bibliographic InfoPaper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 8723.
Length: 17P pages
Date of creation: 1987
Date of revision:
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Tests ; Seasonal Fluctuations ; Time Series ; Gross National Product;
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- Joseph Beaulieu, J. & Miron, Jeffrey A., 1993.
"Seasonal unit roots in aggregate U.S. data,"
Journal of Econometrics,
Elsevier, vol. 55(1-2), pages 305-328.
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