Unit roots and seasonal unit roots in macroeconomic time series: Canadian evidence

Abstract

Unit root tests are conducted to determine whether the unit root found in seasonal adjusted data may be due to seasonal adjustment filters typically applied by government agencies (i.e., ARIMA X-11). We find that a unit root exists in both the raw and adjusted data (except for the unemployment rate). Second, we also find that the commonly used seasonal adjustment filter introduced by Box and Jenkins (1970) is generally inappropriate.