Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
We introduce a general class of periodic unobserved component (UC) time series models with stochastic trend and seasonal components and with a novel periodic stochastic cycle component. The general state space formulation of the periodic model allows for exact maximum likelihood estimation, signal extraction and forecasting. The consequences for model-based seasonal adjustment are discussed. The new periodic model is applied to postwar monthly US unemployment series from which we identify a significant periodic stochastic cycle. A detailed periodic analysis is presented including a comparison between the performances of periodic and non-periodic UC models. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2009.
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Volume (Year): 71 (2009)
Issue (Month): 5 (October)
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- Busetti, Fabio & Harvey, Andrew, 2003. "Seasonality Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 420-436, July.
- Durbin, James & Koopman, Siem Jan, 2012.
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- Franses, Philip Hans & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030. Full references (including those not matched with items on IDEAS)
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