This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Constructing seasonally adjusted data with time-varying confidence intervals

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
S.J. Koopman ()
P.H.B.F. Franses () (FEW-Econometrie en besliskunde)

Additional information is available for the following registered author(s):

Abstract

Seasonal adjustment methods transform observed time series data into estimated data, where these estimated data are constructed such that they show no or almost no seasonal variation. An advantage of model-based methods is that these can provide confidence intervals around the seasonally adjusted data. One particularly useful time series model for seasonal adjustment is the basic structural time series [BSM] model. The usual premise of the BSM is that the variance of each of the components is constant. In this paper we address the possibility that the variance of the trend component in a macro-economic time series in some way depends on the business cycle. One reason for doing so is that one can expect that there is more uncertainty in recession periods. We extend the BSM by allowing for a business-cycle dependent variance in the level equation. Next we show how this affects the confidence intervals of seasonally adjusted data. We apply our extended BSM to monthly US unemployment and we show that the estimated confidence intervals for seasonally adjusted unemployment change with past changes in the oil price.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.eur.nl/WebDOC/doc/econometrie/feweco20010129160415.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number 210.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 2001
Date of revision:
Handle: RePEc:dgr:eureir:2001210

Contact details of provider:
Web page: http://www.few.eur.nl/few

For technical questions regarding this item, or to correct its listing, contact: (Anneke Kop).

Related research
Keywords: seasonally adjusted data confidence intervals;

Other versions of this item:

This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jaditz, Ted, 2000. "Seasonality in Variance Is Common in Macro Time Series," Journal of Business, University of Chicago Press, vol. 73(2), pages 245-54, April. [Downloadable!] (restricted)
  2. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  3. Burridge, Peter & Wallis, Kenneth F, 1984. "Calculating the Variance of Seasonally Adjusted Series," The Warwick Economics Research Paper Series (TWERPS) 251, University of Warwick, Department of Economics.
  4. Fiorentini, G. & Maravall, A., 1995. "Unobserved Components in ARCH Models: An Application to Seasonal Adjustment," Papers 9509, Centro de Estudios Monetarios Y Financieros-.
  5. Franses, Philip Hans, 1995. "Quarterly US Unemployment: Cycles, Seasons and Asymmetries," Empirical Economics, Springer, vol. 20(4), pages 717-25.
  6. Canova, Fabio & Ghysels, Eric, 1994. "Changes in seasonal patterns : Are they cyclical?," Journal of Economic Dynamics and Control, Elsevier, vol. 18(6), pages 1143-1171, November. [Downloadable!] (restricted)
    Other versions:
  7. Ooms, Marius & Franses, Philip Hans, 1997. "On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 470-81, October.
  8. Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-89, October.
  9. Harvey, Andrew & Koopman, Siem Jan & Riani, Marco, 1997. "The Modeling and Seasonal Adjustment of Weekly Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 354-68, July.
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Gebhard Flaig, 2003. "Time Series Properties of the German Monthly Production Index," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by editing a NEP report.

This page was last updated on 2009-12-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.