The Effects of Seasonal Adjustment Linear Filters on Cointegrating Equations: A Monte Carlo Investigation
In this paper we assess, via Monte Carlo Simulations, the effects of some seasonal adjustment linear filters on cointegrating regressions. We find that the use of filters has adverse consequences in terms of the power of the Augmented Dickey and Fuller and Phillips and Perron tests of cointegration.
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|Date of creation:||1996|
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