Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp
Unit Root Tests Applied to Post-War Seasonally Adjusted Quarterly Gnp 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. the Results Obtained Here Are Complementary to Bhargava (1987).
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