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

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.

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Year of publication:	1996
Authors:	Smith, J.C. ; Otero, J.
Institutions:	Department of Economics, University of Warwick
Subject:	COINTEGRATION \| ECONOMIC MODELS \| ECONOMETRICS

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Series:	The Warwick Economics Research Paper Series (TWERPS).
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C19 - Econometric and Statistical Methods: General. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005583096