Unobserved Components in Economic Time Series
The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended series that are seasonally adjusted is a misleading procedure, since detrending plus seasonal adjustment will always induce a non-trivial spectral peak for a cyclical frequency.
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|Date of creation:||1996|
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