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The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?

  • Lawrence J. Christiano
  • Richard M. Todd

'No.' So says one model that is broadly consistent with postwar U.S. seasonal and business cycle data.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0266.

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Date of creation: Dec 2000
Publication status: published as Christiano, Lawrence J. and Richard M. Todd. "The Conventional Treatment Of Seasonality In Business Cycle Analysis: Does It Create Distortions?," Journal of Monetary Economics, 2002, v49(2,Mar), 335-364.
Handle: RePEc:nbr:nberte:0266
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  1. Stephen G. Cecchetti & Anil K. Kashyap & David W. Wilcox, 1997. "Interactions between the seasonal and business cycles in production and inventories," Working Paper Series, Macroeconomic Issues WP-97-06, Federal Reserve Bank of Chicago.
  2. Eric Ghysels & Alastair Hall & Hahn Shik Lee, 1995. "On Periodic Structures and Testing for Seasonal Unit Roots," CIRANO Working Papers 95s-21, CIRANO.
  3. Watson, Mark W, 1993. "Measures of Fit for Calibrated Models," Journal of Political Economy, University of Chicago Press, vol. 101(6), pages 1011-1041, December.
  4. Christiano, Lawrence J & Eichenbaum, Martin, 1992. "Current Real-Business-Cycle Theories and Aggregate Labor-Market Fluctuations," American Economic Review, American Economic Association, vol. 82(3), pages 430-50, June.
  5. Sims, Christopher A., 1993. "Rational expectations modeling with seasonally adjusted data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 9-19.
  6. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-298, July.
  7. Lawrence J. Christiano & Wouter J. Den Haan, 1995. "Small Sample Properties of GMM for Business Cycle Analysis," NBER Technical Working Papers 0177, National Bureau of Economic Research, Inc.
  8. Canova, F. & Ghysels, E., 1992. "Changes in Seasonal Patters: Are They Cyclical," Cahiers de recherche 9216, Universite de Montreal, Departement de sciences economiques.
  9. Grether, D M & Nerlove, M, 1970. "Some Properties of 'Optimal' Seasonal Adjustment," Econometrica, Econometric Society, vol. 38(5), pages 682-703, September.
  10. Lawrence J. Christiano & Richard M. Todd, 1996. "Time to plan and aggregate fluctuations," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 14-27.
  11. Christiano, Lawrence J., 1988. "Why does inventory investment fluctuate so much?," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 247-280.
  12. Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  13. Peter Boswijk, H. & Franses, Philip Hans, 1995. "Testing for periodic integration," Economics Letters, Elsevier, vol. 48(3-4), pages 241-248, June.
  14. Miron, J.A., 1988. "A Cross-Country Comparaison Of Seasonal Cycles And Business Cycles," Papers 89-07, Michigan - Center for Research on Economic & Social Theory.
  15. Plosser, Charles I., 1979. "The analysis of seasonal economic models," Journal of Econometrics, Elsevier, vol. 10(2), pages 147-163, June.
  16. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November.
  17. Christiano, Lawrence J, 1990. "Linear-Quadratic Approximation and Value-Function Iteration: A Comparison," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 99-113, January.
  18. Benhabib, Jess & Rogerson, Richard & Wright, Randall, 1991. "Homework in Macroeconomics: Household Production and Aggregate Fluctuations," Journal of Political Economy, University of Chicago Press, vol. 99(6), pages 1166-1187, December.
  19. R. Anton Braun & Charles L. Evans, 1991. "Seasonal Solow residuals and Christmas: a case for labor hoarding and increasing returns," Working Paper Series, Macroeconomic Issues 91-20, Federal Reserve Bank of Chicago.
  20. Barsky, Robert B & Miron, Jeffrey A, 1989. "The Seasonal Cycle and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 503-534, June.
  21. Gary Hansen, 2010. "Indivisible Labor and the Business Cycle," Levine's Working Paper Archive 233, David K. Levine.
  22. Franses, Philip Hans & Hylleberg, Svend & Lee, Hahn S., 1995. "Spurious deterministic seasonality," Economics Letters, Elsevier, vol. 48(3-4), pages 249-256, June.
  23. Hansen, Lars Peter & Sargent, Thomas J., 1993. "Seasonality and approximation errors in rational expectations models," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 21-55.
  24. Michael C. Lovell, 1963. "Seasonal Adjustment of Economic Time Series and Multiple Regression," Cowles Foundation Discussion Papers 151, Cowles Foundation for Research in Economics, Yale University.
  25. Ellen R. McGrattan, 1994. "A progress report on business cycle models," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 2-16.
  26. Hylleberg, S. & Pagan, A.R., 1995. "Seasonal Integration and the Evolving Seasonals Model," Papers 281, Australian National University - Department of Economics.
  27. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  28. Ghysels, E., 1990. "On The Economic And Econometrics Of Seasonality," Cahiers de recherche 9028, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  29. King, R.G. & Rebelo, S.T., 1989. "Low Frequency Filtering And Real Business Cycles," RCER Working Papers 205, University of Rochester - Center for Economic Research (RCER).
  30. R. Anton Braun & Charles L. Evans, 1991. "Seasonality and equilibrium business cycle theories," Discussion Paper / Institute for Empirical Macroeconomics 45, Federal Reserve Bank of Minneapolis.
  31. Lawrence J. Christiano & Lars Ljungqvist, 1987. "Money does Granger-cause output in the bivariate output-money relation," Staff Report 108, Federal Reserve Bank of Minneapolis.
  32. Gary D. Hansen & Randall Wright, 1992. "The labor market in real business cycle theory," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr, pages 2-12.
  33. Franses, Ph.H.B.F. & Hoek, H. & Paap, R., 1995. "Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts," Econometric Institute Research Papers EI 9527-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  34. Boswijk, H Peter & Franses, Philip Hans, 1995. "Periodic Cointegration: Representation and Inference," The Review of Economics and Statistics, MIT Press, vol. 77(3), pages 436-54, August.
  35. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Working Papers 9609, Banco de España;Working Papers Homepage.
  36. Singleton, Kenneth J., 1988. "Econometric issues in the analysis of equilibrium business cycle models," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 361-386.
  37. Hansen, G.D., 1991. "The Cyclical and Secular Behavior of the Labor Input : Comparing Efficiency Units and Hours Worked," Papers 36, California Los Angeles - Applied Econometrics.
  38. 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.
  39. Richard Paap & Philip Hans Franses, 1999. "On trends and constants in periodic autoregressions," Econometric Reviews, Taylor & Francis Journals, vol. 18(3), pages 271-286.
  40. Franses, Philip Hans & Paap, Richard, 1994. "Model Selection in Periodic Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 421-39, November.
  41. Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1998. "Bayesian inference for periodic regime-switching models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(2), pages 129-143.
  42. Christiano, Lawrence J. & Ljungqvist, Lars, 1988. "Money does Granger-cause output in the bivariate money-output relation," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 217-235, September.
  43. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-35.
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