Seasonality in Univariate Unobserved Component Models

Denise R. Osborn, Jing Tian and Jan P.A.M. Jacobs

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

Abstract: Four sources of seasonality are distinguished for quarterly time series: (i) seasonal unit roots, (ii) deterministic seasonal shifts, (iii) trending deterministic seasonals, and (iv) stationary stochastic seasonality. The identification of relevant UC models is discussed, including the role of a stationary seasonal lag term when the innovations are correlated. Methodologically, the importance of unit root testing for seasonal UC model specification is emphasized, with the proposed approach applied to quarterly U.S. government expenditure series.

Keywords: trend-cycle-seasonal decomposition; univariate unobserved com-ponents models; correlated component models (search for similar items in EconPapers)
JEL-codes: C22 E32 E37 H50 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2026-07
New Economics Papers: this item is included in nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2026-57

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