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The Impact of Seasonal Adjustment on Unit Root Tests in Economic Time Series

Student: Elena Korobeynikova

Supervisor: Ivan Stankevich

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Year of Graduation: 2018

Seasonality in economic time series occurs quite often. On the one hand, seasonal fluctuation increases the variation of time series which leads to a decrease in the accuracy of estimates of the coefficients of the model. Also, they can cause a distortion of the trend. On the other hand, seasonally adjusted time series also have some practical problems. One of them is the reduction in the power of unit root tests. This work is devoted to the question of the impact of seasonal adjustment on unit root tests. In the work two the most widely used seasonal adjustment procedure (X-11 and TRAMO/SEATS) and three the most popular unit root tests (Dickey-Fuller, Phillips-Perron and Kwiatkowsky-Phillips-Schmidt-Shin) are considered. The results were obtained by Monte Carlo method.

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