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Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates

  • Uwe Hassler


    (Universitaet Frankfurt)

  • Matei Demetrescu


    (Universitaet Frankfurt)

Studying annual growth rates (seasonal differences) in case of seasonal data produces much more persistence, autocorrelation and stronger evidence in favour of a unit root than analyzing seasonal growth rates (ordinary differences). First, this statement is quantified theoretically. Second, it is supported experimentally which simulations, and, finally, it is empirically illustrated with quarterly GDP deflators from 7 European economies.

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Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

Volume (Year): 225 (2005)
Issue (Month): 4 (July)
Pages: 413-426

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Handle: RePEc:jns:jbstat:v:225:y:2005:i:4:p:413-426
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  1. repec:tpr:qjecon:v:102:y:1987:i:4:p:857-80 is not listed on IDEAS
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  8. Franses, Philip Hans, 1991. "Moving average filters and unit roots," Economics Letters, Elsevier, vol. 37(4), pages 399-403, December.
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