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Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp

Author

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  • Ghysels, E.

Abstract

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).

Suggested Citation

  • Ghysels, E., 1987. "Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp," Cahiers de recherche 8723, Universite de Montreal, Departement de sciences economiques.
    • Handle: RePEc:mtl:montde:8723
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    Cited by:

    1. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.

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