Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product
Unit-root tests applied to the postwar seasonally adjusted quarterly gross national product 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.
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Volume (Year): 8 (1990)
Issue (Month): 2 (April)
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