Arbeitspapier
Seasonal adjustment and the detection of business cycle phases
To date, there has been little investigation of the impact of seasonal adjustment on the detection of business cycle expansion and recession regimes. We study this question both analytically and through Monte Carlo simulations. Analytically, we view the occurrence of a single business cycle regime as a structural break that is later reversed, showing that the effect of the linear symmetric X-11 filter differs with the duration of the regime. Through the use of Markov switching models for regime identification, the simulation analysis shows that seasonal adjustment has desirable properties in clarifying the true regime when this is well underway, but it distorts regime inference around turning points, with this being especially marked after the end of recessions and when the one-sided X-11 filter is employed.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 357
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Data Collection and Data Estimation Methodology; Computer Programs: General
- Thema
-
business cycles
Markov switching models
Seasonal adjustment
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Matas Mir, Antonio
Osborn, Denise R
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Matas Mir, Antonio
- Osborn, Denise R
- European Central Bank (ECB)
Entstanden
- 2004
Ähnliche Objekte (12)
Seasonal adjustment and the detection of business cycle phases
Trend, seasonality and seasonal adjustment
Enhanced methods of seasonal adjustment
On model based seasonal adjustment procedures
On model based seasonal adjustment procedures
Seasonal adjustment of daily time series
Seasonal Adjustment Methods and the Determination of Turning Points of the EMU Business Cycle
Illuminating ARIMA model-based seasonal adjustment with three fundamental seasonal models
Seasonal adjustment with the X-11 method
Direct Versus Indirect Approach in Seasonal Adjustment
Seasonal adjustment of the Spanish sales daily data
A data-driven selection of an appropriate seasonal adjustment approach
Seasonal adjustment and the detection of business cycle phases
Trend, seasonality and seasonal adjustment
Enhanced methods of seasonal adjustment
On model based seasonal adjustment procedures
On model based seasonal adjustment procedures
Seasonal adjustment of daily time series
Seasonal Adjustment Methods and the Determination of Turning Points of the EMU Business Cycle
Illuminating ARIMA model-based seasonal adjustment with three fundamental seasonal models
Seasonal adjustment with the X-11 method
Direct Versus Indirect Approach in Seasonal Adjustment
Seasonal adjustment of the Spanish sales daily data
A data-driven selection of an appropriate seasonal adjustment approach
Seasonal adjustment and the detection of business cycle phases
Trend, seasonality and seasonal adjustment
Enhanced methods of seasonal adjustment
On model based seasonal adjustment procedures
On model based seasonal adjustment procedures
Seasonal adjustment of daily time series
Seasonal Adjustment Methods and the Determination of Turning Points of the EMU Business Cycle
Illuminating ARIMA model-based seasonal adjustment with three fundamental seasonal models
Seasonal adjustment with the X-11 method
Direct Versus Indirect Approach in Seasonal Adjustment
Seasonal adjustment of the Spanish sales daily data