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.
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| doi.org/10.1016/0165-1765(91)90077-X, hdl.handle.net/1765/2057 | |
| Economics Letters | |
| Organisation | Erasmus School of Economics |
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Franses, P. H. (1991). Moving average filters and unit roots. Economics Letters, 399–403. doi:10.1016/0165-1765(91)90077-X |
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