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Multivariate decompositions and seasonal gender employment


  • Jing Tian
  • Jan P.A.M. Jacobs
  • Denise R. Osborn


Multivariate analysis can help to focus on economic phenomena, including trend and cyclical movements. To allow for potential correlation with seasonality, the present paper studies a three component multivariate unobserved component model, focusing on the case of quarterly data and showing that economic restrictions, including common trends and common cycles, can ensure identification. Applied to seasonal aggregate gender employment in Australia, a bivariate male/female model with a common cycle is preferred to both univariate correlated component and bivariate uncorrelated component specifications. This model evidences distinct gender-based seasonal patterns with seasonality declining over time for females and increasing for males.

Suggested Citation

  • Jing Tian & Jan P.A.M. Jacobs & Denise R. Osborn, 2021. "Multivariate decompositions and seasonal gender employment," CAMA Working Papers 2021-72, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Handle: RePEc:een:camaaa:2021-72

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    trend-cycle-seasonal decomposition; multivariate unobserved components models; correlated component models; identification; gender employment; Australia;
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • F01 - International Economics - - General - - - Global Outlook

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