El filtro de lineas aereas modificadas, integrabilidad y cointegracion

Tomás del Barrio Castro, Miquel Clar () and Ernest Pons Fanals
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Ernest Pons Fanals: Universitat de Barcelona

No 11, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: In the present paper we study the effects in econometric inference when ussing seasonal adjusted data obtained by signal extraction filters. In particular we analyze the effects in the integration order in zero frequency of the adjusted series. We center our study in the consequences of the utilization of the modified airline filter (LAM) used by the National Spanish Institute of Statistics for the elaboration of the Quaterly Spanish Accounts. Our work is organized as follows: firstly we made a brief review about effects of the utilization of seasonal adjustment method in econometric inference, in particular we analize the topics of integrability and cointegration; secondly we analize the main characteristics of the LAM filter and its implications in the order of integration in the zero frequency of adjusted series; in the next section we made a simulation experiment to measure the power and size of Augmented Dickey-Fuller and Phillips-Perron Tests, the results of this section are consistent with those of previous section; finally we made a empirical aplication about this issued for a set of monthly series of the Spanish and Catalonian economies, again the results of this section are consistent with those of the two previous sections. In this work we find that the LAM filter add an aditional unit in zero frecuency, that is, induced an spurious unit root in adjusted data.

JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 0 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:bar:bedcje:199611

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