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Kalman Filter Seasonal Extraction Applied to Monetary Targeting

Author

Listed:
  • Ghysels, E.

Abstract

The Paper Follows a Path of Research Set Forth by a Committee of Statisticians on Seasonal Adjustment of the Money Supply (Summarized by Pierce (1983)). in the Paper the Kalman Filter Is Used to Obtain the Decomposition of an Economic Time Series Into Unobserved Nonorthogonal Components Which Arise From the Context of a Monetary Targeting Model. We Discuss Several Decompositions of the Money Supply Along the Lines of Seasonality, Including the Traditional Decomposition Which Assumes That Seasonality Is Limited to Be an Orthogonal Component with Power Only At the Seasonal Frequency and Its Harmonics. in the Context of the Model the Latter Is Not the Most Appropriate Decomposition We Show the Kalman Filter Can Be Used to Design Extraction Methods for the Decomposition Which Seems More Plausible. Furthermore, We Illustrate That a Traditionaly Used Extraction Filter, Namely the X-11 Filter Cannot Serve As a Second-Best Approximation of What Would Be Appropriate. As By-Product of the Analysis We Show How Revised X-11 Extractions May Have Higher Mse Than Preliminary X-11 Estimates.

Suggested Citation

  • Ghysels, E., 1986. "Kalman Filter Seasonal Extraction Applied to Monetary Targeting," Cahiers de recherche 8611, Universite de Montreal, Departement de sciences economiques.
    • Handle: RePEc:mtl:montde:8611
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