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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Keywords time series, unit roots
Persistent URL dx.doi.org/10.1016/0165-1765(91)90077-X, hdl.handle.net/1765/2057
Journal Economics Letters
Citation
Franses, Ph.H.B.F. (1991). Moving average filters and unit roots. Economics Letters, 399–403. doi:10.1016/0165-1765(91)90077-X