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Time Series Properties of the German Monthly 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 adjusted series.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2003/wp-cesifo-2003-01/cesifo_wp833.pdf
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Bibliographic Info

Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 833.

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Date of creation: 2003
Date of revision:
Handle: RePEc:ces:ceswps:_833

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Keywords: production index; seasonal adjustment; working day effect; business cycles; unobserved components models;

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References

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  1. Jaditz, Ted, 2000. "Seasonality in Variance Is Common in Macro Time Series," The Journal of Business, University of Chicago Press, vol. 73(2), pages 245-54, April.
  2. Gebhard Flaig, 2002. "Unoberserved Components Models for Quarterly German GDP," CESifo Working Paper Series 681, CESifo Group Munich.
  3. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Banco de Espa�a Working Papers 9609, Banco de Espa�a.
  4. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, Elsevier, vol. 18(1), pages 49-75, July.
  5. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
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Cited by:
  1. Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Efectos calendario sobre la producción industrial en Colombia," Borradores de Economia 820, Banco de la Republica de Colombia.
  2. Guenter Lang, 2004. "Zykluskonforme Krise oder Strukturbruch? - Zeitreiheneigenschaften des deutschen Werbemarktes," Discussion Paper Series, Universitaet Augsburg, Institute for Economics 258, Universitaet Augsburg, Institute for Economics.
  3. Guenter Lang, 2005. "Werbemarkt Fernsehen: Zur Eignung der Spektralanalyse als Prognoseinstrument," Discussion Paper Series, Universitaet Augsburg, Institute for Economics 274, Universitaet Augsburg, Institute for Economics.

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