workingPaper
Seasonal adjustment and cointegration
Fecha
2002Registro en:
Jesús Gilberto, O. C., & Smith, J. (2002). Seasonal adjustment and cointegration. Bogotá: Universidad del Rosario, Facultad de Economía.
0124-4396
Autor
Otero, Jesus
Smith, Jeremy
Institución
Resumen
We examine the effects of seasonal adjustment filters on the size and power of ADF and PP residual-based cointegration tests via a Monte Carlo and an empirical application. Our results indicate that the use of filters distorts the size and reduces the power of these tests.