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Unobserved Components in Economic Time Series

  • Agustín Maravall

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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Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9609.

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Length: 65 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bde:wpaper:9609
Contact details of provider: Web page: http://www.bde.es/
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