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A Study Towards a Dynamic Theory of Seasonality for Economic Time Series

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  • Ghysels, E.

Abstract

Traditionally One Decomposes Economic Time Series Exhibiting Seasonality in a Cyclical Component, a Seasonal Component and Possibly Other Components. the Fundamental Assumptions Almost Exclusively Made About This Decomposition Is That (1) the Components Are Mutually Orthogonal and (2) the Seasonal Component Has Power Only At the Seasonal Frequency and Its Harmonics. in This Paper We Discuss the Fact That in the Context of Dynamic Economic Models Such a Decomposition Is Usually Inappropriate for the Endogenous Variables of the Model. We Discuss Three Possible Decompositions, Including the Traditional Decomposition, Analyze Their Properties and Digress on the Relevant Use of the Decompositions We Define. the Paper Also Discusses Ways to Estimate Dynamic Models with Seasonality, Yielding the Relevant Decomposition, Via the Mle Approach. It Is Shown That the Traditional Decomposition of an Endogenous Variable Typically Does Not Coincide with What We Believe Is a Relevant Decomposition of That Variable Along the Lines of the Exogenous Seasonal and Cyclical Sources of the Model.

Suggested Citation

  • Ghysels, E., 1986. "A Study Towards a Dynamic Theory of Seasonality for Economic Time Series," Cahiers de recherche 8612, Universite de Montreal, Departement de sciences economiques.
  • Handle: RePEc:mtl:montde:8612
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    Citations

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    Cited by:

    1. Miron, Jeffrey A & Beaulieu, J Joseph, 1996. "What Have Macroeconomists Learned about Business Cycles form the Study of Seasonal Cycles?," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 54-66, February.
    2. Beaulieu, J Joseph & Miron, Jeffrey A, 1992. "A Cross Country Comparison of Seasonal Cycles and Business Cycles," Economic Journal, Royal Economic Society, vol. 102(413), pages 772-788, July.
    3. Abdur Chowdhury, 1995. "The demand for money in a small open economy: The case of Switzerland," Open Economies Review, Springer, vol. 6(2), pages 131-144, April.
    4. Christiano, Lawrence J. & Todd, Richard M., 2002. "The conventional treatment of seasonality in business cycle analysis: does it create distortions?," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 335-364, March.
    5. Ghysels, E., 1992. "Charistmas, Spring and the Dawning of Economic Recovery," Cahiers de recherche 9215, Universite de Montreal, Departement de sciences economiques.
    6. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    7. Travis D. Nesmith, 2006. "Rational seasonality," Finance and Economics Discussion Series 2007-04, Board of Governors of the Federal Reserve System (U.S.).
    8. Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, January.
    9. Braun, R Anton & Evans, Charles L, 1998. "Seasonal Solow Residuals and Christmas: A Case for Labor Hoarding and Increasing Returns," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 306-330, August.
    10. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
    11. Richard M. Todd, 1989. "Periodic linear-quadratic methods for modeling seasonality," Staff Report 127, Federal Reserve Bank of Minneapolis.

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