eCite Digital Repository

Trend-cycle-seasonal interactions: Identification and estimation


Hindrayanto, I and Jacobs, JPAM and Osborn, DR and Tian, J, Trend-cycle-seasonal interactions: Identification and estimation, Macroeconomic Dynamics pp. 1-26. ISSN 1365-1005 (2018) [Refereed Article]

Copyright Statement

Copyright 2018 Cambridge University Press

DOI: doi:10.1017/S1365100517001092


Economists typically use seasonally adjusted data in which the assumption is imposed that seasonality is uncorrelated with trend and cycle. The importance of this assumption has been highlighted by the Great Recession. The paper examines an unobserved components model that permits nonzero correlations between seasonal and nonseasonal shocks. Identification conditions for estimation of the parameters are discussed from the perspectives of both analytical and simulation results. Applications to UK household consumption expenditures and US employment reject the zero correlation restrictions and also show that the correlation assumptions imposed have important implications about the evolution of the trend and cycle in the post-Great Recession period.

Item Details

Item Type:Refereed Article
Keywords:trend-cycle-seasonal decomposition, unobserved components, seasonal adjustment, employment; Great Recession
Research Division:Economics
Research Group:Econometrics
Research Field:Econometric and statistical methods
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
UTAS Author:Jacobs, JPAM (Dr Jan Jacobs)
UTAS Author:Osborn, DR (Professor Denise Osborn)
UTAS Author:Tian, J (Dr Jing Tian)
ID Code:124143
Year Published:2018
Web of Science® Times Cited:1
Deposited By:Economics and Finance
Deposited On:2018-02-08
Last Modified:2018-04-24

Repository Staff Only: item control page