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Ajuste Estacional e Integración en Variables Macroeconómicas

  • Raimundo Soto

    ()

    (Instituto de Economía)

Separating seasonal components from other sources of economic fluctuations is crucial for both economic modeling and policy making. Practitioners treat seasonality as noise to be removed before estimating models and tend to apply deseasonalizing methods i

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Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía-Latin American Journal of Economics.

Volume (Year): 39 (2002)
Issue (Month): 116 ()
Pages: 135-155

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Handle: RePEc:ioe:cuadec:v:39:y:2002:i:116:p:135-155
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  1. Franses, Ph.H.B.F. & Hoek, H. & Paap, R., 1995. "Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts," Econometric Institute Research Papers EI 9527-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Ermini, Luigi, 1998. "A Tale of Three Seasonal Adjustment Procedures: The Case of Sweden's GDP," SSE/EFI Working Paper Series in Economics and Finance 230, Stockholm School of Economics.
  3. J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
  4. Olekalns, Nilss, 1994. "Testing for unit roots in seasonally adjusted data," Economics Letters, Elsevier, vol. 45(3), pages 273-279.
  5. Miron, Jeffrey A & Beaulieu, J Joseph, 1996. "What Have Macroeconomists Learned about Business Cycles form the Study of Seasonal Cycles?," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 54-66, February.
  6. Franses, Ph.H.B.F. & de Bruin, P. & van Dijk, D.J.C., 2000. "Seasonal smooth transition autoregression," Econometric Institute Research Papers EI 2000-06/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  7. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  8. Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August.
  9. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  10. Abeysinghe, Tilak, 1994. "Deterministic seasonal models and spurious regressions," Journal of Econometrics, Elsevier, vol. 61(2), pages 259-272, April.
  11. Sims, Christopher A., 1993. "Rational expectations modeling with seasonally adjusted data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 9-19.
  12. Hansen, Lars Peter & Sargent, Thomas J., 1993. "Seasonality and approximation errors in rational expectations models," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 21-55.
  13. Abeysinghe, Tilak, 1994. "Forecasting performance of seasonal-dummy models relative to some alternatives," Economics Letters, Elsevier, vol. 44(4), pages 365-370, April.
  14. Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-77, November.
  15. Abeysinghe, Tilak, 1991. "Inappropriate use of seasonal dummies in regression," Economics Letters, Elsevier, vol. 36(2), pages 175-179, June.
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