The Influence of Seasonal Adjustment on the Canadian Consumption Function, 1947-1991.
Cointegration tests typically rely on seasonally adjusted data. Cointegration tests are applied in this paper to seasonally unadjusted data. The main objective of the paper is to test the permanent income hypothesis using Canadian data. The authors find that the unit root at the zero frequency found in seasonally adjusted data is also present in seasonally unadjusted data. However, there is considerable evidence for the presence of seasonal unit roots. Although there is support for the permanent income hypothesis for seasonally adjusted data, the same hypothesis is rejected for seasonally unadjusted data.
Year of publication: |
1993
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Authors: | Lee, Hahn S. ; Siklos, Pierre L. |
Published in: |
Canadian Journal of Economics. - Canadian Economics Association - CEA. - Vol. 26.1993, 3, p. 575-89
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Publisher: |
Canadian Economics Association - CEA |
Saved in:
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