Seasonal adjustment and measuring persistence in output
- 1 January 1990
- journal article
- research article
- Published by Wiley in Journal of Applied Econometrics
- Vol. 5 (1) , 47-58
- https://doi.org/10.1002/jae.3950050104
Abstract
We examine the robustness of persistence measurement to different seasonal adjustment procedures. The empirical analysis is based on US data for real gross national product (GNP). Officially published data on US GNP are seasonally adjusted by Census X‐11. We find that this series gives significantly higher measures of persistence than GNP data adjusted by alternative seasonal adjustment methods. Some Monte Carlo evidence in support of this conclusion is also presented.Keywords
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