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Keywords:Seasonal variations (Economics) 

Report
A reexamination of the inventory buffer effect with disaggregate data

Research Paper , Paper 8817

Journal Article
Leaning against the seasonal wind: is there a cause for seasonal smoothing of interest rates?

Business Review , Issue Mar , Pages 13-24

Working Paper
Filtering permanent cycles with complex unit roots

Separating cyclical movement from trend growth at seasonal and business cycle frequencies is important to macroeconomic research. At business cycle frequencies, time trends, first differences and the more recent Hodrick-Prescott (HP) filter are used to separate trends from cycles. At seasonal frequencies, ad-hoc methods like the Census Bureau's X-11 seasonal filter are applied. This paper reviews the criteria for permanent cycles in systems characterized by difference equations and looks at the effect of filtering data which exhibit permanent cyclicality. Second order moving averages with ...
Working Papers , Paper 1997-001

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 ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 8

Discussion Paper
Rational expectations modeling with seasonally adjusted data

In a world where time series show clear seasonal fluctuations, rational agents will take account of those fluctuations in planning their own behavior. Using seasonally adjusted data to model behavior of such agents throws away information and introduces possibly severe bias. Nonetheless it may be true fairly often that rational expectations modeling with seasonally adjusted data, treating the adjusted data as if it were actual data, gives approximately correct results; and naive extensions of standard modeling techniques to seasonally unadjusted data may give worse results than naive use of ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 35

Working Paper
Seasonal production smoothing

Empirical tests of the production-smoothing hypothesis have yielded mixed results. In this paper, Donald Allen looks for, and finds evidence of, seasonal production smoothing in 15 out of 25 manufacturing series and 8 out of 10 retail series, using detrended seasonally unadjusted data. The equivalent test using seasonally adjusted data were negative for all 35 series. The results suggest that seasonally adjusted data obscure short-term production-smoothing.
Working Papers , Paper 1999-004

Journal Article
Seasonal production smoothing

Empirical tests of the production-smoothing hypothesis have yielded mixed results. In this paper, Donald Allen looks for and finds evidence of seasonal production smoothing in 15 out of 25 manufacturing series and eight out of 10 retail series, using detrended seasonally unadjusted data. The equivalent test using seasonally adjusted data were negative for all 35 series. The results suggest that seasonally adjusted data obscure short-term production smoothing.
Review , Volume 81 , Issue Sep , Pages 21-40

Journal Article
Seasonal adjustment of the money supply

Review , Volume 65 , Issue Nov , Pages 16-25

Working Paper
Estimated variance of seasonally adjusted series

For model-based seasonal adjustment, there are explicit formulas for obtaining the variance of the seasonal factors or the seasonally adjusted series. For series adjusted with X-11 or X-12, variance estimates are generally based on a linear approximation of the seasonal adjustment procedure. The work of Pfeffermann (1992) extends earlier work by Wolter and Monseur. This study uses simulated series and comparisons of alternative seasonal adjustment results for a few economic series to assess the accuracy of variance estimates. Pfeffermann's method gives good results when the true seasonal is ...
Finance and Economics Discussion Series , Paper 2002-15

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