Title of article
The effects of working with seasonally adjusted data when testing for unit root
Author/Authors
Tomas del Barrio Castro، نويسنده , , Ernest Pons Fanals، نويسنده , , Jordi Suri?ach Caralt، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
8
From page
249
To page
256
Abstract
This paper examines the performance of the ADF, PP and KPSS tests when using trend-cycle components obtained by signal extraction procedures as opposed to using the original series. It also seeks to determine the causes of the pernicious effects that are observed. The filtering procedures analysed in this paper are those of the ARIMA Model Based (AMB) and the Modified Airline Filter (MAF).
Keywords
Unit root tests , Seasonal adjustment
Journal title
Economics Letters
Serial Year
2002
Journal title
Economics Letters
Record number
434928
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