Seasonal Adjustment and Cointegration


  • Borradores de investigación


  • 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.

fecha de publicación

  • 2002-12

Líneas de investigación

  • Cointegration
  • Linear Filters
  • Seasonal Adjustment


  • 3483