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Seasonal adjustment and cointegration

Jesus Otero () and Jeremy Smith

Borradores de Investigación from Universidad del Rosario

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.

Keywords: Seasonal adjustment; linear filters; cointegration (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Date: 2002-12-01
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http://repository.urosario.edu.co/bitstream/handle/10336/10813/3483.pdf

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Persistent link: https://EconPapers.repec.org/RePEc:col:000091:003483

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