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Three distinct strands can be identified in the literature on seasonality. Economists have long been interested in removing high-frequency "noise" from individual economic time series, or "deseasonalizing the data" in common parlance. The second strand, on which an extensive technical literature...
Persistent link: https://www.econbiz.de/10011269244
A discussion of how new financial instruments have made accurate seasonal adjustment of monetary data more difficult since 1980.
Persistent link: https://www.econbiz.de/10005512876
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...
Persistent link: https://www.econbiz.de/10005519804
An examination of whether one should seasonally adjust data before developing multivariate time series models to provide forecasts.
Persistent link: https://www.econbiz.de/10005526635
Persistent link: https://www.econbiz.de/10005490642
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...
Persistent link: https://www.econbiz.de/10005498989
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...
Persistent link: https://www.econbiz.de/10005427800
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...
Persistent link: https://www.econbiz.de/10005372789
Persistent link: https://www.econbiz.de/10005389655
An essay on the effect that seasonal money supply fluctations have on the measurement of M1 and on Federal Reserve money supply management, with a discussion of the X-11 adjustment method and suggestions for improving it.
Persistent link: https://www.econbiz.de/10005393521