SYSTEMATIC-SAMPLING, TEMPORAL AGGREGATION, SEASONAL ADJUSTMENT, AND COINTEGRATION - THEORY AND EVIDENCE

We consider in this paper the theoretical possibility that a unit root at the zero frequency can arise because of temporal aggregation of se ries which, in fact, possess a unit root possibly at some seasonal fre quency. Thus, the long-run component of a time series can be misinterp reted. Similarly, a finding of cointegration at the zero frequency cou ld arise between a series which has a unit root at the zero frequency and another with a unit root at another frequency. Empirical evidence using an international macroeconomic data set is presented which sugge sts that the above theoretical results have some practical validity.