On the (mis)specification of seasonality and its consequences: An empirical investigation with US data |
| |
Authors: | Eric Ghysels Hahn S Lee Pierre L Siklos |
| |
Institution: | 1. C.R.D.E. and Département de Sciences Economiques, Université de Montréal, H3C 3J7, Montréal, P.Q., Canada 2. Department of Economics, Tulane University, 70118-5698, New Orleans, LA, USA 3. Department of Economics, Wilfrid Laurier University, N2L 3C5, Waterloo, Ontario, Canada
|
| |
Abstract: | It is well known that mis-specification of a trend leads to spurious cycles in detrended data (see, e.g., Nelson and Kang (1981)). Seasonal-adjustment procedures make assumptions, either implicitly or explicitly, about roots on the unit circle both at the zero and seasonal frequencies. Consequently, seasonal-adjustment procedures may produce spurious seasonal variation and other statistically undesirable effects. In this paper we document for a large class of widely used US quarterly macroeconomic series the effects of competing seasonal-adjustment procedures on the univariate time-series properties of the adjusted series. We also investigate which procedures are most appropriate given the properties of the data. Overall, we find very significant differences and evidence that several U.S. macroeconomic time series contain a mixture of deterministic and stochastic seasonal components. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|