Does Seasonal Adjustment Change Inference from MARKOV Switching Models?
Philip Hans Franses
Erasmus University Rotterdam (EUR) - Department of Econometrics
Journal of Macroeconomics
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, C15Accepted Paper Series
Date posted: June 8, 1998
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