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Rational expectations modeling with seasonally adjusted data

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Christopher A. Sims

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Abstract

In a world where time series show clear seasonal fluctuations, rational agents will take account of those fluctuations in planning their own behavior. Using seasonally adjusted data to model behavior of such agents throws away information and introduces possibly severe bias. Nonetheless it may be true fairly often that rational expectations modeling with seasonally adjusted data, treating the adjusted data as if it were actual data, gives approximately correct results; and naive extensions of standard modeling techniques to seasonally unadjusted data may give worse results than naive use of adjusted data. This paper justifies these claims with examples and detailed arguments.

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Paper provided by Federal Reserve Bank of Minneapolis in its series Discussion Paper / Institute for Empirical Macroeconomics with number 35.

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Date of creation: 1990
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Handle: RePEc:fip:fedmem:35

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Related research
Keywords: Rational expectations (Economic theory) ; Seasonal variations (Economics);

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  1. A. Shorrocks & T. Hens & H. Gottinger & S. Reichelstein & B. Kuon & M. Frenkel & R. Braun & R. Noll & Y. Xu, 1997. "Book Reviews," Journal of Economics, Springer, vol. 66(3), pages 308-328, October. [Downloadable!] (restricted)
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    • T. Hutchison & I. Pellengahr & K. Podczeck & R. Noll & I. Vogelsang & B. Mitchell & S. Martin & J. Mairesse, 1994. "Book review," Journal of Economics, Springer, vol. 59(3), pages 325-349, October. [Downloadable!] (restricted)
  2. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO. [Downloadable!]
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  3. Raimundo Soto, 2000. "Ajuste Estacional e Integración en Variables Macroeconómicas," Working Papers Central Bank of Chile 73, Central Bank of Chile. [Downloadable!]
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  4. Eric Ghysels, 1992. "Christmas, Spring and the Dawning of Economic Recovery," Cowles Foundation Discussion Papers 1027, Cowles Foundation, Yale University. [Downloadable!]
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  5. Lars Peter Hansen & Thomas J. Sargent, 2001. "Acknowledging Misspecification in Macroeconomic Theory," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(3), pages 519-535, July. [Downloadable!] (restricted)
  6. R. Anton Braun & Charles L. Evans, 1996. "Seasonal Solow residuals and Christmas: a case for labor hoarding and increasing returns," Working Papers 575, Federal Reserve Bank of Minneapolis. [Downloadable!]
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