Does Seasonal Adjustment Change Inference from MARKOV Switching Models?

Franses, Philip Hans; Paap, Richard

Abstract

Does Seasonal Adjustment Change Inference from MARKOV Switching Models?

Philip Hans Franses

Erasmus University Rotterdam (EUR) - Department of Econometrics

Erasmus University Rotterdam (EUR) - Department of Econometrics; Tinbergen Institute; Erasmus Research Institute of Management (ERIM)

1996

A1.89 WP 9615/A

Abstract:
In this paper we show that the answer to the question in the title is affirmative, i.e. seasonal adjustment increases the probabilities in a Markov switching regime model of staying in the same regime. This phenomenon is illustrated through Monte Carlo Simulations and with two examples concerning German unemployment and US industrial production.

JEL Classification: C20; C22; C15

working papers series

Date posted: January 6, 1998

Suggested Citation

Franses, Philip Hans and Paap, Richard, Does Seasonal Adjustment Change Inference from MARKOV Switching Models? (1996). A1.89 WP 9615/A. Available at SSRN: http://ssrn.com/abstract=50724

Contact Information

Philip Hans Franses (Contact Author) Erasmus University Rotterdam (EUR) - Department of Econometrics ( email ) P.O. Box 1738 3000 DR Rotterdam Netherlands +31 10 408 1278 (Phone) +31 10 408 9162 (Fax)
Richard Paap Erasmus University Rotterdam (EUR) - Department of Econometrics ( email ) P.O. Box 1738 3000 DR Rotterdam Netherlands
Tinbergen Institute ( email ) P.O. Box 1738 3000 DR Rotterdam Netherlands
Erasmus Research Institute of Management (ERIM) ( email ) P.O. Box 1738 3000 DR Rotterdam Netherlands

Abstract

Does Seasonal Adjustment Change Inference from MARKOV Switching Models?

Philip Hans Franses

Richard Paap

Date posted: January 6, 1998

Suggested Citation

Contact Information

Philip Hans Franses (Contact Author)

Richard Paap