Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten

Uwe Hassler and Matei Demetrescu

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2005, vol. 225, issue 4, 413-426

Abstract: Studying annual growth rates (seasonal differences) in case of seasonal data produces much more persistence, autocorrelation and stronger evidence in favour of a unit root than analyzing seasonal growth rates (ordinary differences). First, this statement is quantified theoretically. Second, it is supported experimentally with simulations, and, finally, it is empirically illustrated with quarterly GDP deflators from 7 European economies.

Keywords: Annual growth rates; nonstationarity; Dickey-Fuller test; loss of power; Jährliche Wachstumsraten; Instationarität; Dickey-Fuller-Test; Güteverlust (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:225:y:2005:i:4:p:413-426

DOI: 10.1515/jbnst-2005-0404

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