Abstract.

The paper analyses the necessity of seasonal adjustment in dynamic models. It is shown, that seasonal adjustment of the time series can influence its’ properties in terms of unit root and cointegration tests. This influence depends of the seasonal adjustment procedure and the test selected. If there is a cointegration between series, seasonal adjustment of any type reduces the quality of estimates of parameters of cointegration equation if the seasonality in original series is such that there is no seasonality in cointegration equation. If seasonality is present in the cointegration equation, seasonal adjustment increases the quality of estimates and identification of the presence of cointegration.

Keywords:

seasonality, seasonal adjustment, time series, dynamic economic models.

PP. 55-58.

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