The effect of seasonal adjustment filters on tests for a unit root (with discussion)

DOI10.1016/0304-4076(93)90004-OzbMath0756.62044MaRDI QIDQ1203074

Pierre Perron, Eric Ghysels

Publication date: 4 February 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

asymptotic biasleast-squares estimatorsimulation studypower of testsautoregressive coefficientstests for unit rootslimiting upward biasseasonal adjustment filtersunivariate dynamic modelsX-11 filter

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (14)

Removing seasonality under a changing regime: filtering new car sales ⋮ Testing for unit roots in seasonally adjusted data ⋮ Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence ⋮ The choice of time interval in seasonal adjustment: a heuristic approach ⋮ The effect of linear filters on dynamic time series with structural change ⋮ Does seasonal adjustment induce common cycles? ⋮ Seasonal cointegration for monthly data ⋮ Recovering cointegration via wavelets in the presence of non-linear patterns ⋮ Alternative estimators and unit root tests for seasonal autoregressive processes ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Stochastic linear trends. Models and estimators ⋮ The consequences of seasonal adjustment for periodic autoregressive processes ⋮ The effects of working with seasonally adjusted data when testing for unit root. ⋮ Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea

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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Time Series Regression with a Unit Root
• Seasonal Adjustment and Relations Between Variables

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