Does Seasonal Adjustment Change Inference from MARKOV Switching Models?

Posted: 8 Jun 1998  

Philip Hans Franses

Erasmus University Rotterdam (EUR) - Department of Econometrics

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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

Suggested Citation

Franses, Philip Hans, Does Seasonal Adjustment Change Inference from MARKOV Switching Models?. Journal of Macroeconomics. Available at SSRN: https://ssrn.com/abstract=96844

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)

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