THE INFLUENCE OF SEASONAL ADJUSTMENT ON THE CANADIAN CONSUMPTION FUNCTION, 1947-1991

Cointegration tests typically rely on seasonally adjusted data. Cointe gration tests are applied in this paper to seasonally unadjusted data. The main objective of the paper is to test the permanent income hypot hesis (PIH) using Canadian data. We find that the unit root at the zer o frequency found in seasonally adjusted data is also present in seaso nally unadjusted data. However, there is considerable evidence for the presence of seasonal unit roots. Although there is support for the PI H for seasonally adjusted data, the same hypothesis is rejected for se asonally unadjusted data.