The Effects of Seasonal Adjustment Linear Filters on Cointegrating Equations: A Monte Carlo Investigation

Jeremy Smith and Jesus Otero

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: In this paper we assess, via Monte Carlo Simulations, the effects of some seasonal adjustment linear filters on cointegrating regressions. We find that the use of filters has adverse consequences in terms of the power of the Augmented Dickey and Fuller and Phillips and Perron tests of cointegration.

Keywords: COINTEGRATION; ECONOMIC MODELS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C10 C15 C19 (search for similar items in EconPapers)
Pages: 29 pages
Date: 1996
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: THE EFFECTS OF SEASONAL ADJUSTMENT LINEAR FILTERS ON COINTEGRATING EQUATIONS: A MONTE CARLO INVESTIGATION (1966)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:456

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