In this paper we analyze the sensitivity of unit root inference to nonlinear transformations through Bayesian techniques. We make joint inference about the Box-Cox transformation, which includes the cases yt and log(yt), and the unit root. When we apply our method to the fourteen Nelson-Plosser...

This paper suveys several recently proposed regression-based methods that can be used to evaluate the usefulness of seasonally adjusted data, with specific focus on Census X-12 adjustment. These methods examine whether seasonality has indeed been removed and whether key properties (like a trend...