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Time Series Properties of the German Monthly Production Index

  • Gebhard Flaig

The production index is an important indicator for assessing the cyclical state of the economy. Unfortunately, the monthly time series is contaminated by many noisy components like seasonal variations, calendar and vacation effects. Only part of those nuisance components are explicitly considered in the seasonal adjustment procedures used by statistical agencies. In this paper, we propose a more flexible specification for the seasonal and working day effects and introduce an indicator for the summer vacations effect. We allow for time-varying parameters and show that the resulting Unobserved Components Model delivers more reliable results for the adjusted series.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2003/wp-cesifo-2003-01/cesifo_wp833.pdf
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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 833.

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Date of creation: 2003
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Handle: RePEc:ces:ceswps:_833
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  1. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Banco de Espa�a Working Papers 9609, Banco de Espa�a.
  2. Gebhard Flaig, 2002. "Unoberserved Components Models for Quarterly German GDP," CESifo Working Paper Series 681, CESifo Group Munich.
  3. Jaditz, Ted, 2000. "Seasonality in Variance Is Common in Macro Time Series," The Journal of Business, University of Chicago Press, vol. 73(2), pages 245-54, April.
  4. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
  5. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
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