Show simple item record

dc.contributor.authorMATAS-MIR, Antonio
dc.contributor.authorOSBORN, Denise R.
dc.contributor.authorLOMBARDI, Marco J.
dc.date.accessioned2011-04-19T12:48:42Z
dc.date.available2011-04-19T12:48:42Z
dc.date.issued2008
dc.identifier.citationJournal of Applied Econometrics, 2008, 23, 2, 257-278
dc.identifier.issn0883-7252
dc.identifier.urihttps://hdl.handle.net/1814/16553
dc.description.abstractWe study the impact of seasonal adjustment on the properties of business cycle expansion and recession, regimes using analytical, simulation and empirical methods. Analytically, we show that the X-11 adjustment filter both reduces the magnitude of change at turning points and reduces the depth of recessions, with specific effects depending on the length of the recession. A Monte Carlo analysis using Markov-switching models confirms these properties, with particularly undesirable effects in delaying the recognition of the end of a recession. However, seasonal adjustment can help to clarify the true regime when this is well underway. These results continue to hold when a seasonally non-stationary process with regime-dependent mean is misspecified as one with deterministic seasonal effects. The empirical findings, based on four coincident US business cycle indicators, reinforce the analytical and simulation results by showing that seasonal adjustment leads to the identification of longer and shallower recessions than obtained using unadjusted data. Copyright (C) 2008 John Wiley & Sons, Ltd.
dc.language.isoen
dc.publisherJohn Wiley & Sons Ltd
dc.titleThe Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes
dc.typeArticle
dc.identifier.doi10.1002/jae.980
dc.identifier.volume23
dc.identifier.startpage257
dc.identifier.endpage278
eui.subscribe.skiptrue
dc.identifier.issue2


Files associated with this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record