The Influence of Seasonal Adjustment on the Canadian Consumption Function; 1947-1991
AbstractCointegration tests typically rely on seasonally adjusted data. Cointegration tests are applied in this paper to seasonally unadjusted data. The main objective of the paper is to test the permanent income hypothesis using Canadian data. The authors find that the unit root at the zero frequency found in seasonally adjusted data is also present in seasonally unadjusted data. However, there is considerable evidence for the presence of seasonal unit roots. Although there is support for the permanent income hypothesis for seasonally adjusted data, the same hypothesis is rejected for seasonally unadjusted data.
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Bibliographic InfoPaper provided by Wilfrid Laurier University, Department of Economics in its series Working Papers with number 92006.
Length: 29 pages
Date of creation: 1992
Date of revision:
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economic models ; consumption;
Other versions of this item:
- Hahn S. Lee & Pierre L. Siklos, 1993. "The Influence of Seasonal Adjustment on the Canadian Consumption Function, 1947-1991," Canadian Journal of Economics, Canadian Economics Association, vol. 26(3), pages 575-89, August.
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