The Effects of Seasonal Adjustment Linear Filters on Cointegrating Equations: A Monte Carlo Investigation
AbstractIn 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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Bibliographic InfoPaper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 456.
Length: 29 pages
Date of creation: 1996
Date of revision:
COINTEGRATION; ECONOMIC MODELS; ECONOMETRICS;
Find related papers by JEL classification:
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