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| Author: | Ermini, L. Chang, D. |
| Title: | Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea |
| Journal: | Journal of Econometrics
1996 : VOL. 74:2, p. 363-386 |
| Index terms: | KOREA MONEY SEASONAL FLUCTUATION |
| Language: | eng |
| Abstract: | With seasonally adjusted data, and using a procedure based on nonseasonal cointegration, the macro rational expectations hypothesis of rationality and money neutrality is rejected at the 10% level. However, with seasonally unadjusted data, and using a procedure based on seasonal cointegration, the same hypothesis is not rejected. The paper provides an example of how deseasonalizing variable by variable can distort empirical inference in two important ways: by introducing nonvertibility at the seasonal frequencies or by failing to take into account the presence of cointegrating relations at these frequencies. |
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