Seasonal adjustment and cointegration
| Data(s) |
2002
|
|---|---|
| Resumo |
El documento examina el efecto de filtros de ajuste en el tamaño y poder de prueba de cointegración que usan los residuales como pruebas ADF y PP, mediante procedimientos MonteCarlo y una aplicación empírica. Nuestros resultados indican que el uso de filtros distorsiona el tamaño y reduce el poder de estas pruebas. 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. |
| Formato |
application/pdf |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Facultad de Economía |
| Relação |
Serie documentos de trabajo. Economía, No. 32 https://ideas.repec.org/p/col/000091/003483.html |
| Direitos |
info:eu-repo/semantics/openAccess |
| Fonte |
instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario Barsky, Robert B & Miron, Jeffrey A, 1989. "The Seasonal Cycle and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 503-34, June. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. Ghysels, Eric, 1990. "Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 145-52, April. 0124-4396 |
| Palavras-Chave | #Filtros (Matemáticas) #Cointegración -- Modelos econométricos #519.232 #Seasonal adjustment #Linear filters #Cointegration |
| Tipo |
info:eu-repo/semantics/workingPaper info:eu-repo/semantics/acceptedVersion |
