Rational expectations modeling with seasonally adjusted data

Christopher Sims ()

No 35, Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis

Abstract: 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 adjusted data. This paper justifies these claims with examples and detailed arguments.

Keywords: Rational expectations (Economic theory); Seasonal variations (Economics) (search for similar items in EconPapers)
Date: 1990
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.minneapolisfed.org/research/dp/dp35.pdf Full Text (application/pdf)

Related works:
Journal Article: Rational expectations modeling with seasonally adjusted data (1993)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmem:35

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis Contact information at EDIRC.
Bibliographic data for series maintained by Jannelle Ruswick ( this e-mail address is bad, please contact ).