http://repub.eur.nl/res/aut/7319/ List of Publications en http://repub.eur.nl/static-eur/img/logo.png http://repub.eur.nl http://repub.eur.nl/res/pub/13534/ 2002-09-28T00:00:00Z In this paper, we examine the interaction between data transformation and the empirical evidence obtained when testing for (non-)linearity. For this purpose we examine nonlinear features in 64 monthly and 53 quarterly US macroeconomic variables for a range of Box–Cox data transformations. Our general finding is that evidence of nonlinearity is not independent of the data transformation. Results of simulation experiments substantiate this finding. http://repub.eur.nl/res/pub/1639/ 2000-02-04T00:00:00Z In this paper we put forward a new time series model, which describes nonlinearity and seasonality simultaneously. We discuss its representation, estimation of the parameters and inference. This seasonal STAR (SEASTAR) model is examined for its practical usefulness by applying it to 18 quarterly industrial production series. The data are tested for smooth-transition nonlinearity and for time-varying seasonality. We find that the model fits the data well for 14 of the 18 series. We also consider out-of-sample forecasting where we compare forecasts from the SEASTAR models with forecasts from nested models. It turns out that the SEASTAR model sometimes outperforms the other models, particularly for large horizons. Finally, we compare the SEASTAR models with STAR models for the 14 corresponding seasonally adjusted series, and we find that the estimated business cycle chronologies can be markedly different. http://repub.eur.nl/res/pub/13515/ 2000-01-01T00:00:00Z Several recent studies show that seasonal variation and cyclical variation in unemployment are correlated. A common finding is that seasonality tends to differ across the business cycle stages of recessions and expansions. Since seasonal adjustment methods assume that the two sources of variation can somehow be separated, the present study examines the impact of seasonal adjustment on the analysis of cyclical patterns. Seasonally adjusted quarterly unemployment data for five G-7 countries are modeled by a Smooth Transition Autoregression (STAR), whereas the corresponding unadjusted data are modeled by a so-called Seasonal STAR (SEASTAR). A comparison of the implied estimated peaks and troughs shows that there is substantial agreement on the business cycle chronologies, albeit that for seasonally adjusted data, recessionary periods tend to last longer. http://repub.eur.nl/res/pub/1593/ 1999-01-01T00:00:00Z Several recent studies show that seasonal variation and cyclical variation in unemployment are correlated. A common finding is that seasonality tends to differ across the business cycle stages of recessions and expansions. Since seasonal adjustment methods assume that the two sources of variation can somehow be separated, the present study examines the impact of seasonal adjustment on the analysis of cyclical patterns. Seasonally adjusted quarterly unemployment data for 5 G-7 countries are modeled by a Smooth Transition Autoregression [STAR] while the corresponding unadjusted data are modeled by a so-called Seasonal STAR [SEASTAR]. A comparison of the implied estimated peaks and troughs shows that there is substantial agreement on the business cycle chronologies, albeit that for seasonally adjusted data recessionary periods tend to last longer. http://repub.eur.nl/res/pub/1548/ 1998-01-01T00:00:00Z In this paper we examine the interaction between data transformation and the empirical evidence obtained when testing for (non-)linearity. For this purpose we examine nonlinear features in 64 monthly and 53 quarterly US macroeconomic variables for a range of Box-Cox data transformations. Our general finding is that evidence of nonlinearity is not independent of the data transformation. Results of simulation experiments substantiate this finding.