Unobserved Components in Economic Time Series

Agustin Maravall ()

Working Papers from Banco de España

Abstract: The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended series that are seasonally adjusted is a misleading procedure, since detrending plus seasonal adjustment will always induce a non-trivial spectral peak for a cyclical frequency.

Keywords: TIME SERIES; ECONOMETRICS; BUSINESS CYCLES (search for similar items in EconPapers)
JEL-codes: C10 C22 C32 E32 (search for similar items in EconPapers)
Pages: 65 pages
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (43)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9609

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