Does seasonality change over the business cycle? An investigation using monthly industrial production series
This paper examines the proposition that the business cycle affects seasonality in industrial production, with output being switched to the traditionally low production summer months when recent (annual) growth has been strong. This is investigated through the use of a restricted threshold autoregressive model for the monthly growth rate in a total of 74 industries from 16 OECD countries. Approximately one third of the series exhibit significant nonlinearity, with this nonlinearity predominantly associated with changes in the seasonal pattern. Estimates show that the summer slowdown in many European countries is substantially reduced when recent growth has been high.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Osborn, Denise R. & Heravi, Saeed & Birchenhall, C. R., 1999. "Seasonal unit roots and forecasts of two-digit European industrial production," International Journal of Forecasting, Elsevier, vol. 15(1), pages 27-47, February.
- Krane, Spencer & Wascher, William, 1999.
"The cyclical sensitivity of seasonality in U.S. employment,"
Journal of Monetary Economics,
Elsevier, vol. 44(3), pages 523-553, December.
- Spencer D. Krane & William L. Wascher, 1995. "The cyclical sensitivity of seasonality in U.S. employment," Finance and Economics Discussion Series 95-43, Board of Governors of the Federal Reserve System (U.S.).
- S. Krane & W. Wascher, 1999. "The cyclical sensitivity of seasonality in US employment," BIS Working Papers 67, Bank for International Settlements.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1992.
"Seasonal Unit Roots in Aggregate U.S. Data,"
NBER Technical Working Papers
0126, National Bureau of Economic Research, Inc.
- van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A., 1996.
"Testing for Smooth Transition Nonlinearity in the Presence of Outliers,"
Econometric Institute Research Papers
EI 9622-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 217-35, April.
- Francis X. Diebold & Celia Chen, 1993.
"Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures,"
93-11, Federal Reserve Bank of Philadelphia.
- Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, vol. 70(1), pages 221-241, January.
- Canova, F. & Ghysels, E., 1992.
"Changes in Seasonal Patters: Are They Cyclical,"
Cahiers de recherche
9216, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Stephen G. Cecchetti & Anil K. Kashyap & David W. Wilcox, 1997.
"Interactions between the seasonal and business cycles in production and inventories,"
Working Paper Series, Macroeconomic Issues
WP-97-06, Federal Reserve Bank of Chicago.
- Cecchetti, Stephen G & Kashyap, Anil K & Wilcox, David W, 1997. "Interactions between the Seasonal and Business Cycles in Production and Inventories," American Economic Review, American Economic Association, vol. 87(5), pages 884-92, December.
- repec:cup:cbooks:9780521565882 is not listed on IDEAS
- Carpenter, Robert E & Levy, Daniel, 1998. "Seasonal Cycles, Business Cycles, and the Comovement of Inventory Investment and Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 331-46, August.
- Simon M. Potter, 1993.
"A Nonlinear Approach to U.S. GNP,"
UCLA Economics Working Papers
693, UCLA Department of Economics.
- Cecchetti, Stephen G. & Kashyap, Anil K, 1996.
European Economic Review,
Elsevier, vol. 40(2), pages 331-360, February.
- van Dijk, D.J.C. & Strikholm, B. & Terasvirta, T., 2001.
"The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series,"
Econometric Institute Research Papers
EI 2001-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Dick van Dijk 1 & Birgit Strikholm & Timo Ter�svirta, 2003. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 79-98, 06.
- van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo, 2001. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," SSE/EFI Working Paper Series in Economics and Finance 0429, Stockholm School of Economics, revised 16 May 2002.
- Hansen, B.E., 1991.
"Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis,"
RCER Working Papers
296, University of Rochester - Center for Economic Research (RCER).
- Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
- Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-70, October.
- repec:cup:cbooks:9780521562607 is not listed on IDEAS
- Marianne Baxter & Robert G. King, 1999.
"Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series,"
The Review of Economics and Statistics,
MIT Press, vol. 81(4), pages 575-593, November.
- Tom Doan, . "BKFILTER: RATS procedure to implement band pass filter using Baxter-King method," Statistical Software Components RTS00026, Boston College Department of Economics.
- Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
- Ghysels, Eric, 1994.
"On the Periodic Structure of the Business Cycle,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(3), pages 289-98, July.
When requesting a correction, please mention this item's handle: RePEc:eee:eecrev:v:48:y:2004:i:6:p:1309-1332. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
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.