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

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Author Info
Ghysels, E.

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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.

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

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

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

Cited by:
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  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. [Downloadable!] (restricted)
    Other versions:
  2. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. 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!]
    Other versions:
  4. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
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  6. J. Joseph Beaulieu & Jeffrey A. Miron, 1990. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," NBER Working Papers 3459, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. Travis D. Nesmith, 2006. "Rational seasonality," Finance and Economics Discussion Series 2007-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus. [Downloadable!]
  9. Eric Ghysels, 1992. "Christmas, Spring and the Dawning of Economic Recovery," Cowles Foundation Discussion Papers 1027, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  10. Raimundo Soto, 2000. "Ajuste Estacional e Integración en Variables Macroeconómicas," Working Papers Central Bank of Chile 73, Central Bank of Chile. [Downloadable!]
    Other versions:
  11. Richard M. Todd, 1989. "Periodic linear-quadratic methods for modeling seasonality," Staff Report 127, Federal Reserve Bank of Minneapolis. [Downloadable!]
  12. 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. [Downloadable!] (restricted)
Statistics
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