Moving average filters and unit roots
January 1991
Article
pp 399-403.
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Moving average filtering a stationary AR(1) time series yields higher valued first order autocorrelations. Its implications for unit root testing in seasonally (un-) adjusted time series are evaluated theoretically, via simulations, as well as with an empirical example.
Keywords
Automatically Extracted Terms
- series
- unit roots
- time series
- unit root
- process
- procedure
- filter
- nonseasonal unit root
- autocorrelation
- testing
- nonseasonal
- ghysel
- adjustment procedures
- regression
- adjustment
- value
- unit root tests
- test procedure
- t value
- method
