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Trend-cycle-seasonal interactions: Identification and estimation
journal contribution
posted on 2023-05-19, 15:47 authored by Hindrayanto, I, Jacobs, JPAM, Osborn, DR, Jing TianJing TianEconomists 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.
History
Publication title
Macroeconomic DynamicsPagination
1-26ISSN
1365-1005Department/School
TSBEPublisher
Cambridge Univ PressPlace of publication
40 West 20Th St, New York, USA, Ny, 10011-4211Rights statement
Copyright 2018 Cambridge University PressRepository Status
- Restricted