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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.
    • Handle: RePEc:ces:ceswps:_833
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    References listed on IDEAS

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    1. Siem Jan Koopman & Philip Hans Franses, 2002. "Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 509-526, December.
    2. Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, December.
    3. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
    4. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    5. 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.
    6. 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.
    7. Gebhard Flaig, 2002. "Unoberserved Components Models for Quarterly German GDP," CESifo Working Paper Series 681, CESifo.
    8. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Working Papers 9609, Banco de España.
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    Cited by:

    1. Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Efectos calendario sobre la producción industrial en Colombia," Borradores de Economia 820, Banco de la Republica de Colombia.
    2. Guenter Lang, 2005. "Werbemarkt Fernsehen: Zur Eignung der Spektralanalyse als Prognoseinstrument," Discussion Paper Series 274, Universitaet Augsburg, Institute for Economics.
    3. Guenter Lang, 2004. "Zykluskonforme Krise oder Strukturbruch? - Zeitreiheneigenschaften des deutschen Werbemarktes," Discussion Paper Series 258, Universitaet Augsburg, Institute for Economics.
    4. Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Efectos calendario sobre la producción industrial en Colombia," Borradores de Economia 11241, Banco de la Republica.

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