Search Results
Discussion Paper
A systems approach to recursive economic forecasting and seasonal adjustment
The paper discusses a new, fully recursive approach to the adaptive modeling, forecasting and seasonal adjustment of nonstationary economic time-series. The procedure is based around a time variable parameter (TVP) version of the well known component or structural model. It employs a novel method of sequential spectral decomposition (SSD), based on recursive state-space smoothing, to decompose the series into a number of quasi-orthogonal components. This SSD procedure can be considered as a complete approach to the problem of model identification and estimation, or it can be used as a first ...
Journal Article
Seasonal revisions
Working Paper
Seasonal Solow residuals and Christmas: a case for labor hoarding and increasing returns
In aggregate unadjusted data, measured Solow residuals exhibit large seasonal variations. Total Factor Productivity grows rapidly in the fourth quarter at an annual rate of 16 percent and regresses sharply in the first quarter at an annual rate of ?24 percent. This paper considers two potential explanations for the measured seasonal variation in the Solow residual: labor hoarding and increasing returns to scale. Using a specification that allows for no exogenous seasonal variation in technology and a single seasonal demand shift in the fourth quarter, we ask the following question: How much ...
Working Paper
Federal Reserve policy strategy and interest rate seasonality
During the 1970's short-term interest rates have exhibited extreme variability by recent historical standards.
Journal Article
A problem of seasonal adjustment
A discussion of how new financial instruments have made accurate seasonal adjustment of monetary data more difficult since 1980.
Journal Article
Unemployment seasonals
Working Paper
Forecasting and seasonal adjustment
An examination of whether one should seasonally adjust data before developing multivariate time series models to provide forecasts.