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Seasonal adjustment and cointegration

Author

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  • Jesus Otero
  • Jeremy Smith

Abstract

We examine the effects of seasonal adjustment filters on the size and power of ADF and PP residual-based cointegration tests via a Monte Carlo and an empirical application. Our results indicate that the use of filters distorts the size and reduces the power of these tests.

Suggested Citation

  • Jesus Otero & Jeremy Smith, 2002. "Seasonal adjustment and cointegration," Borradores de Investigación 3483, Universidad del Rosario.
    • Handle: RePEc:col:000091:003483
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    File URL: http://repository.urosario.edu.co/bitstream/handle/10336/10813/3483.pdf
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    References listed on IDEAS

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    1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    3. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
    4. Barsky, Robert B & Miron, Jeffrey A, 1989. "The Seasonal Cycle and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 503-534, June.
    5. Ghysels, Eric, 1990. "Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 145-152, April.
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    Citations

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    Cited by:

    1. Álvaro Chaves Castro., 2005. "Un modelo de cointegración estacional de la producción industrial, Colombia 1993-2005," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, December.
    2. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," Economics Discussion Paper Series 0612, Economics, The University of Manchester.

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    More about this item

    Keywords

    Seasonal adjustment; linear filters; cointegration;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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