Seasonal adjustment and cointegrating relationships: consumption and income
The cointegrated nature of UK consumption and income is examined using 'official' seasonally adjusted data and data which have been seasonally adjusted using an alternative well-established method. It is found that the presence of cointegrating relationship is dependent upon the method of adjustment used, a result reflecting the warnings of Wallis (Journal of the American Statistical Association, 63, 18-31, 1974). This result has major implications given the plethora of cointegration studies conducted using seasonally adjusted data.
Year of publication: |
2000
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Authors: | Cook, Steven |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 7.2000, 8, p. 549-551
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Publisher: |
Taylor & Francis Journals |
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