Time Series Properties of the German Production Index
AbstractThe 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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Bibliographic InfoArticle provided by Springer in its journal Allgemeines Statistisches Archiv.
Volume (Year): 89 (2005)
Issue (Month): 4 (November)
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Web page: http://www.springerlink.com/link.asp?id=112915
Other versions of this item:
- Flaig, Gebhard, 2005. "Time series properties of the German production index," Munich Reprints in Economics 20377, University of Munich, Department of Economics.
- JEL - Labor and Demographic Economics - - - - -
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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- Olaf Posch, 2007.
"Structural estimation of jump-diffusion processes in macroeconomics,"
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- Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, vol. 153(2), pages 196-210, December.
- Andreas Löschel & Ulrich Oberndorfer, 2009.
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Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 229(2-3), pages 146-162, June.
- 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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