Trend-cycle-seasonal interactions: identification and estimation

Irma Hindrayanto (), Jan Jacobs, Denise Osborn and Jing Tian

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: Economists typically use seasonally adjusted data in which the assumption is imposed that seasonality is uncorrelated with trend and cycle. The importance of this assumption has been highlighted by the Great Recession. The paper examines an unobserved components model that permits non-zero correlations between seasonal and nonseasonal shocks. Identification conditions for estimation of the parameters are discussed from the perspectives of both analytical and simulation results. Applications to UK household consumption expenditures and US employment reject the zero correlation restrictions and also show that the correlation assumptions imposed have important implications about the evolution of the trend and cycle in the post-Great Recession period.

Keywords: Trend-cycle-seasonal decomposition; unobserved components; seasonal adjustment; employment; Great Recession (search for similar items in EconPapers)
JEL-codes: C22 E24 E32 E37 F01 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2017-09
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Citations: View citations in EconPapers (1)

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https://cama.crawford.anu.edu.au/sites/default/fil ... cobs_osborn_tian.pdf (application/pdf)

Related works:
Journal Article: TREND–CYCLE–SEASONAL INTERACTIONS: IDENTIFICATION AND ESTIMATION (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2017-57

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