Seasonal adjustment and cointegration
Jesus Otero () and
Borradores de Investigación from Universidad del Rosario
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)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000091:003483
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