Does Seasonal Adjustment Change Inference from Markov Switching Models?
A1.89 WP 9615/A
Posted: 6 Jan 1998
Date Written: 1996
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
Suggested Citation: Suggested Citation