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The Effect Of Seasonal Adjustment Filters On Tests For A Unit Root

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Author Info
GHYSELS, E.
PERRON, P.

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Abstract

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Publisher Info
Paper provided by Princeton, Department of Economics - Econometric Research Program in its series Papers with number 355.

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Length: 48 pages
Date of creation: 1990
Date of revision:
Handle: RePEc:fth:prinem:355

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Related research
Keywords: economic models ; time series ; econometrics ; regression analysis;

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  1. Ricardo Gonçalves Silva & Marinho Gomes Andrade & Milton Barossi-Filho, 2004. "Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach," Econometrics 0408003, EconWPA, revised 13 Aug 2004. [Downloadable!]
  2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Alan King, 2000. "Modelling manufactured exports in Europe: a two-regime approach," Journal of International Trade & Economic Development, Taylor and Francis Journals, vol. 9(2), pages 173-192, June. [Downloadable!] (restricted)
  4. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO. [Downloadable!]
    Other versions:
  5. Denise Osborn & Marianne Sensier, 2007. "UK inflation: persistance, seasonality and monetary policy," The School of Economics Discussion Paper Series 0716, Economics, The University of Manchester. [Downloadable!]
    Other versions:
  6. Antonio Rubia, 2001. "Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets," Working Papers. Serie EC 2001-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  7. Emanuela Marrocu, 2006. "An Investigation of the Effects of Data Transformation on Nonlinearity," Empirical Economics, Springer, vol. 31(4), pages 801-820, November. [Downloadable!] (restricted)
  8. Philip M. Bodman, 1995. "National Savings And Domestic Investment In The Long Term: Some Time Series Evidence From The Oecd," International Economic Journal, Korean International Economic Association, vol. 9(2), pages 37-60, June. [Downloadable!] (restricted)
  9. Mª Ángeles Caraballo Pou & Carlos Dabús, 2005. "Nominal rigidities, relative prices and skewness," Economic Working Papers at Centro de Estudios Andaluces E2005/17, Centro de Estudios Andaluces. [Downloadable!]
  10. Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics 0402007, EconWPA, revised 18 Mar 2004. [Downloadable!]
    Other versions:
  11. David T. Griffiths, 2004. "The big problem of forecasting small change," Applied Economics, Taylor and Francis Journals, vol. 36(19), pages 2195-2207, September. [Downloadable!] (restricted)
  12. Antonio Matas Mir & Denise R Osborn, 2004. "Seasonal adjustment and the detection of business cycle phases," Working Paper Series 357, European Central Bank. [Downloadable!]
    Other versions:
  13. Olivier Darné, 2003. "Maximum likelihood seasonal cointegration tests for daily data," Economics Bulletin, Economics Bulletin, vol. 3(18), pages 1-8. [Downloadable!]
  14. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278. [Downloadable!]
    Other versions:
  15. Eric Ghysels, 1993. "A time series model with periodic stochastic regime switching," Discussion Paper / Institute for Empirical Macroeconomics 84, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  16. Andreas Humpe & Peter Macmillan, 2007. " Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 0720, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
  17. Donald S. Allen, 1997. "Filtering permanent cycles with complex unit roots," Working Papers 1997-001, Federal Reserve Bank of St. Louis. [Downloadable!]
  18. D R Osborn & M Sensier, 2004. "Modelling UK Inflation: Persistence, Seasonality and Monetary Policy," Centre for Growth and Business Cycle Research Discussion Paper Series 46, Economics, The Univeristy of Manchester. [Downloadable!]
  19. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO. [Downloadable!]
  20. Kunst, Robert M. & Reutter, Michael, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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