The effects of working with seasonally adjusted data when testing for unit root

This paper examines the performance of the ADF, PP and KPSS tests when using trend-cycle components obtained by signal extraction procedures as opposed to using the original series. It also seeks to determine the causes of the pernicious effects that are observed. The filtering procedures analysed i...

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Bibliographic Details
Published in:Economics letters 2002-04, Vol.75 (2), p.249-256
Main Authors: del Barrio Castro, Tomás, Pons Fanals, Ernest, Suriñach Caralt, Jordi
Format: Article
Language:English
Subjects:
Economic theory
Economics
Seasonal adjustment
Unit root tests
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Summary:This paper examines the performance of the ADF, PP and KPSS tests when using trend-cycle components obtained by signal extraction procedures as opposed to using the original series. It also seeks to determine the causes of the pernicious effects that are observed. The filtering procedures analysed in this paper are those of the ARIMA Model Based (AMB) and the Modified Airline Filter (MAF).
ISSN:0165-1765
1873-7374
DOI:10.1016/S0165-1765(01)00626-7