Autori: Ermini, Luigi , Chang, Dongkoo
Titolo: Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: the case of Korea
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1994 - Fascicolo: 6 - Pagina iniziale: 1 - Pagina finale: 20

With seasonally adjusted data, and using a procedure based on non-seasonal cointegration, the macro rational expectations hypothesis of rationality and money neutrality is rejected at the 10% level. However, with seasonally unadjusted data, and using a procedure based on seasonal cointegration, the same hypothesis is not rejected. The paper thus provides an example of how the application of deseasonalization procedures variable by variable can distort empirical inference, in a manner which parallels the practice of differencing variable by variable without taking into account the presence of cointegrating relations.


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Testo completo: http://hdl.handle.net/1814/486

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