Friday, September 12, 2014

Unit Root Tests and Seasonally Adjusted Data

We all know why it's common to "seasonally adjust" economic time series data that are recorded on a monthly, quarterly, etc. basis. Students are sometimes surprised to learn that in some countries certain such time series are reported only in seasonally adjusted terms. You can't get the original (unadjusted data). This applies to some U.S. economic data, for example.

Does this matter?