Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment

Siem Jan Koopman, Marius Ooms and Irma Hindrayanto ()

No 06-101/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper led to an article in the Oxford Bulletin of Economics and Statistics (2009). Vol. 71, pages 683-713. See also (W.R. Bell, S.H. Holan & T.S. McElroy (Eds.)), 'Economic Time Series: Modeling and Seasonality' , pages 3-35. London: Chapman and Hall/CRC Press. This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues are considered and a novel periodic version of the stochastic cycle component is presented. In the empirical illustration, the model is applied to postwar monthly US unemployment series and we discover a significantly periodic cycle. Furthermore, a comparison is made between the performance of the periodic unobserved components time series model and a periodic seasonal autoregressive integrated moving average model. Moreover, we introduce a new method to estimate the latter model.

Keywords: Unobserved component models; state space methods; seasonal adjustment; time–varying parameters; forecasting (search for similar items in EconPapers)
JEL-codes: C22 C51 E32 E37 (search for similar items in EconPapers)
Date: 2006-11-20
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://papers.tinbergen.nl/06101.pdf (application/pdf)

Related works:
Journal Article: Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment* (2009)
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:tin:wpaper:20060101

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().