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On trend-cycle-seasonal interactions

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

DNB Working Papers from Netherlands Central Bank, Research Department

Abstract: Traditional unobserved component models assume that the trend, cycle and seasonal components of an individual time series evolve separately over time. Although this assumption has been relaxed in recent papers that focus on trend-cycle interactions, it remains at the core of all seasonal adjustment methods applied by official statistical agencies around the world. The present paper develops an unobserved components model that permits non-zero correlations between seasonal and non-seasonal shocks, hence allowing testing of the uncorrelated assumption that is traditionally imposed. Identification conditions for estimation of the parameters are discussed, while applications to observed time series illustrate the model and its implications for seasonal adjustment.

Keywords: trend-cycle-seasonal decomposition; unobserved components; state-space models; seasonal adjustment; global real economic activity; unemployment (search for similar items in EconPapers)
JEL-codes: C22 E24 E32 E37 F01 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
Date: 2014-03
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:417

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