Advanced Search
MyIDEAS: Login

A Study Towards a Dynamic Theory of Seasonality for Economic Time Series

Contents:

Author Info

  • Ghysels, E.

Abstract

Traditionally One Decomposes Economic Time Series Exhibiting Seasonality in a Cyclical Component, a Seasonal Component and Possibly Other Components. the Fundamental Assumptions Almost Exclusively Made About This Decomposition Is That (1) the Components Are Mutually Orthogonal and (2) the Seasonal Component Has Power Only At the Seasonal Frequency and Its Harmonics. in This Paper We Discuss the Fact That in the Context of Dynamic Economic Models Such a Decomposition Is Usually Inappropriate for the Endogenous Variables of the Model. We Discuss Three Possible Decompositions, Including the Traditional Decomposition, Analyze Their Properties and Digress on the Relevant Use of the Decompositions We Define. the Paper Also Discusses Ways to Estimate Dynamic Models with Seasonality, Yielding the Relevant Decomposition, Via the Mle Approach. It Is Shown That the Traditional Decomposition of an Endogenous Variable Typically Does Not Coincide with What We Believe Is a Relevant Decomposition of That Variable Along the Lines of the Exogenous Seasonal and Cyclical Sources of the Model.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 8612.

as in new window
Length: 33P. pages
Date of creation: 1986
Date of revision:
Handle: RePEc:mtl:montde:8612

Contact details of provider:
Postal: CP 6128, Succ. Centre-Ville, Montréal, Québec, H3C 3J7
Phone: (514) 343-6540
Fax: (514) 343-5831
Web page: http://www.sceco.umontreal.ca
More information through EDIRC

Related research

Keywords: Econometrics ; Seasonal Fluctuations ; Evaluation Techniques ; Data Bases;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Jeffrey A. Miron & J. Joseph Beaulieu, 1995. "What Have Macroeconomists Learned about Business Cycles from the Study of Seasonal Cycles?," NBER Working Papers 5258, National Bureau of Economic Research, Inc.
  2. J. Joseph Beaulieu & Jeffrey A. Miron, 1991. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Papers 0011, Boston University - Industry Studies Programme.
  3. Abdur Chowdhury, 1995. "The demand for money in a small open economy: The case of Switzerland," Open Economies Review, Springer, vol. 6(2), pages 131-144, April.
  4. Christiano, Lawrence J. & Todd, Richard M., 2002. "The conventional treatment of seasonality in business cycle analysis: does it create distortions?," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 335-364, March.
  5. Eric Ghysels, 1992. "Christmas, Spring and the Dawning of Economic Recovery," Cowles Foundation Discussion Papers 1027, Cowles Foundation for Research in Economics, Yale University.
  6. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus.
  7. Raimundo Soto, 2000. "Ajuste Estacional e Integración en Variables Macroeconómicas," Working Papers Central Bank of Chile 73, Central Bank of Chile.
  8. Travis D. Nesmith, 2006. "Rational seasonality," Finance and Economics Discussion Series 2007-04, Board of Governors of the Federal Reserve System (U.S.).
  9. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc.
  10. Braun, R Anton & Evans, Charles L, 1998. "Seasonal Solow Residuals and Christmas: A Case for Labor Hoarding and Increasing Returns," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 306-30, August.
  11. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
  12. Richard M. Todd, 1989. "Periodic linear-quadratic methods for modeling seasonality," Staff Report 127, Federal Reserve Bank of Minneapolis.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:mtl:montde:8612

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sharon BREWER).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.