Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten

Summary Studying annual growth rates (seasonal differences) in case of seasonal data produces much more persistence, autocorrelation and stronger evidence in favour of a unit root than analyzing seasonal growth rates (ordinary differences). First, this statement is quantified theoretically. Second, it is supported experimentally with simulations, and, finally, it is empirically illustrated with quarterly GDP deflators from 7 European economies.

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Year of publication:	2005
Authors:	Hassler, Uwe ; Demetrescu, Matei
Published in:	Jahrbücher für Nationalökonomie und Statistik. - Lucius & Lucius, ISSN 2366-049X, ZDB-ID 2416178-0. - Vol. 225.2005, 4, p. 413-426
Publisher:	Lucius & Lucius
Subject:	Annual growth rates \| nonstationarity \| Dickey-Fuller test \| loss of power \| Jährliche Wachstumsraten \| Instationarität \| Dickey-Fuller-Test \| Güteverlust

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	German
Other identifiers:	10.1515/jbnst-2005-0404 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014609055