 A Study Towards a Dynamic Theory of Seasonality for Economic Time SeriesEric Ghysels () Cahiers de recherche from Universite de Montreal, Departement de sciences economiques Abstract: Traditionally One Decomposes Economic Time Series Exhibiting Seasonality in a Cyclical Component, a Seasonal Component and Possibly Other Components. the Fundamental Assumptions Almost Exclusively Made About This Decomposition Is That (1) the Components Are Mutually Orthogonal and (2) the Seasonal Component Has Power Only At the Seasonal Frequency and Its Harmonics. in This Paper We Discuss the Fact That in the Context of Dynamic Economic Models Such a Decomposition Is Usually Inappropriate for the Endogenous Variables of the Model. We Discuss Three Possible Decompositions, Including the Traditional Decomposition, Analyze Their Properties and Digress on the Relevant Use of the Decompositions We Define. the Paper Also Discusses Ways to Estimate Dynamic Models with Seasonality, Yielding the Relevant Decomposition, Via the Mle Approach. It Is Shown That the Traditional Decomposition of an Endogenous Variable Typically Does Not Coincide with What We Believe Is a Relevant Decomposition of That Variable Along the Lines of the Exogenous Seasonal and Cyclical Sources of the Model. Keywords: Econometrics; Seasonal Fluctuations; Evaluation Techniques; Data Bases (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:8612 Access Statistics for this paper More papers in Cahiers de recherche from Universite de Montreal, Departement de sciences economiques Contact information at EDIRC. |
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