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The Influence of Seasonal Adjustment on the Canadian Consumption Function, 1947-1991

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  • Hahn S. Lee
  • Pierre L. Siklos

Abstract

Cointegration 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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  • 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 575-589, August.
    • Handle: RePEc:cje:issued:v:26:y:1993:i:3:p:575-89
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    Cited by:

    1. Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369.
    2. Lee, Hahn Shik & Siklos, Pierre L., 1997. "The role of seasonality in economic time series reinterpreting money-output causality in U.S. data," International Journal of Forecasting, Elsevier, vol. 13(3), pages 381-391, September.
    3. Lee, Hahn S. & Siklos, Pierre L., 1995. "A note on the critical values for the maximum likelihood (seasonal) cointegration tests," Economics Letters, Elsevier, vol. 49(2), pages 137-145, August.
    4. Reimers, Hans-Eggert, 1997. "Forecasting of seasonal cointegrated processes," International Journal of Forecasting, Elsevier, vol. 13(3), pages 369-380, September.
    5. Albertson, Kevin & Aylen, Jonathan, 2003. "Forecasting the behaviour of manufacturing inventory," International Journal of Forecasting, Elsevier, vol. 19(2), pages 299-311.

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