Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
AbstractThis paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues are considered and a novel periodic version of the stochastic cycle component is presented. In the empirical illustration, the model is applied to postwar monthly US unemployment series and we discover a significantly periodic cycle. Furthermore, a comparison is made between the performance of the periodic unobserved components time series model and a periodic seasonal autoregressive integrated moving average model. Moreover, we introduce a new method to estimate the latter model.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 06-101/4.
Date of creation: 20 Nov 2006
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Unobserved component models; state space methods; seasonal adjustment; time–varying parameters; forecasting;
Other versions of this item:
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-23 (All new papers)
- NEP-BEC-2007-01-23 (Business Economics)
- NEP-ECM-2007-01-23 (Econometrics)
- NEP-ETS-2007-01-23 (Econometric Time Series)
- NEP-FOR-2007-01-23 (Forecasting)
- NEP-MAC-2007-01-23 (Macroeconomics)
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