Castro, Tomas del Barrio; Osborn, Denise R. - In: Econometrics Journal 7 (2004) 2, pp. 307-321
This paper examines the effect of X-11 seasonal adjustment on periodic autoregressive processes, using both analytic techniques and simulation. Analytical results show that adjustment reduces (but does not eliminate) periodicity in the coefficients of a stationary PAR(1) process, and it...