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Time Series Properties of the German Production Index

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  • Gebhard Flaig*

    ()

Abstract

The production index is an important indicator for assessing the cyclical state of the economy. Unfortunately, the monthly time series is contaminated by many noisy components like seasonal variations, calendar and vacation effects. Only part of those nuisance components are explicitly considered in the seasonal adjustment procedures used by statistical agencies. In this paper, we propose a more flexible specification for the seasonal and working day effects and introduce an indicator for the summer vacations effect. We allow for time-varying parameters and show that the resulting Unobserved Components Model delivers more reliable results for the trend and cycle components of the production index.

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File URL: http://hdl.handle.net/10.1007/s10182-005-0213-x
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Bibliographic Info

Article provided by Springer in its journal Allgemeines Statistisches Archiv.

Volume (Year): 89 (2005)
Issue (Month): 4 (November)
Pages: 419-434

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Handle: RePEc:spr:alstar:v:89:y:2005:i:4:p:419-434

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Related research

Keywords: Production index; seasonal adjustment; working day effect; business cycles; unobserved components models; JEL C22; E32;

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Cited by:
  1. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, School of Economics and Management, University of Aarhus.
  2. Andreas Löschel & Ulrich Oberndorfer, 2009. "Oil and Unemployment in Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 229(2-3), pages 146-162, June.
  3. Monika Ruschinski, 2006. "Investigating the Cyclical Properties of World Trade," Ifo Working Paper Series Ifo Working Paper No. 30, Ifo Institute for Economic Research at the University of Munich.

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