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Seasonal adjustment and the univariate testing of asymmetry

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  • Steven Cook

Abstract

Following Holly and Stannett, a standard approach has emerged in the implementation of Sichel's tests of business cycle asymmetry, whereby seasonally adjusted data is detrended via Hodrick-Prescott filtering. While Speight and MacMillan have considered the impact of alternative methods of detrending upon these tests, the role of seasonal adjustment has yet to be examined. In this letter the impact of seasonal adjustment is examined by means of an application to durable, non-durable and aggregate UK consumers' expenditure. Whereas alternative means of detrending most noticeably effect the deepness test and its significance, alternative methods of seasonal adjustment are shown to primarily effect the steepness statistic and its size.

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  • Steven Cook, 2000. "Seasonal adjustment and the univariate testing of asymmetry," Applied Economics Letters, Taylor & Francis Journals, vol. 7(10), pages 649-652.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:10:p:649-652
    DOI: 10.1080/135048500415950
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    References listed on IDEAS

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    1. Holly, Sean & Jones, Natasha, 1997. "House prices since the 1940s: Cointegration, demography and asymmetries," Economic Modelling, Elsevier, vol. 14(4), pages 549-565, October.
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    8. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
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    Cited by:

    1. Steven Cook, 2000. "An International Perspective on Asymmetries in Consumers' Expenditure," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(3), pages 283-293, September.

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