Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals
Siem Jan Koopman () and
Philip Hans Franses
Oxford Bulletin of Economics and Statistics, 2002, vol. 64, issue 5, 509-26
Seasonal adjustment methods transform observed time series data into estimated data, where these estimated data are constructed such that they show no or almost no seasonal variation. An advantage of model-based methods is that these can provide confidence intervals around the seasonally adjusted data. One particularly useful time series model for seasonal adjustment is the basic structural time series (BSM) model. The usual premise of the BSM is that the variance of each of the components is constant. In this paper we address the possibility that the variance of the trend component in a macroeconomic time series in some way depends on the business cycle. One reason for doing so is that one can expect that there is more uncertainty in recession periods. We extend the BSM by allowing for a business-cycle dependent variance in the level equation. Next we show how this affects the confidence intervals of seasonally adjusted data. We apply our extended BSM to monthly US unemployment and we show that the estimated confidence intervals for seasonally adjusted unemployment change with past changes in the oil price. Copyright 2002 by Blackwell Publishing Ltd
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/servlet/useragent ... &year=2002&part=null link to full text (text/html)
Access to full text is restricted to subscribers.
Working Paper: Constructing seasonally adjusted data with time-varying confidence intervals (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:64:y:2002:i:5:p:509-26
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049
Access Statistics for this article
Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple
More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().