Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
AbstractWe introduce a general class of periodic unobserved component (UC) time series models with stochastic trend and seasonal components and with a novel periodic stochastic cycle component. The general state space formulation of the periodic model allows for exact maximum likelihood estimation, signal extraction and forecasting. The consequences for model-based seasonal adjustment are discussed. The new periodic model is applied to postwar monthly US unemployment series from which we identify a significant periodic stochastic cycle. A detailed periodic analysis is presented including a comparison between the performances of periodic and non-periodic UC models. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2009.
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.
Volume (Year): 71 (2009)
Issue (Month): 5 (October)
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Other versions of this item:
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers 06-101/4, Tinbergen Institute.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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