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Time Series Properties of the German Monthly Production Index

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  • Gebhard Flaig

Abstract

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.

Suggested Citation

  • Gebhard Flaig, 2003. "Time Series Properties of the German Monthly Production Index," CESifo Working Paper Series 833, CESifo Group Munich.
  • Handle: RePEc:ces:ceswps:_833
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    File URL: http://www.cesifo-group.de/DocDL/cesifo_wp833.pdf
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    References listed on IDEAS

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    1. Jaditz, Ted, 2000. "Seasonality in Variance Is Common in Macro Time Series," The Journal of Business, University of Chicago Press, vol. 73(2), pages 245-254, April.
    2. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
    3. Gebhard Flaig, 2002. "Unoberserved Components Models for Quarterly German GDP," CESifo Working Paper Series 681, CESifo Group Munich.
    4. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Working Papers 9609, Banco de España;Working Papers Homepage.
    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 231-247, July-Sept.
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    More about this item

    Keywords

    production index; seasonal adjustment; working day effect; business cycles; unobserved components models;

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