1997
On periodic correlations between estimated seasonal and nonseasonal components for US and German unemployment
Publication
Publication
Journal of Business and Economic Statistics p. 470- 481
The orthogonality assumption of seasonal and nonseasonal components for official quarterly unemployment figures in Germany and the US is examined. Although nonperiodic correlations do not seem to reject the orthogonality assumption, a periodic analysis based on correlation functions that vary with the seasons indicates the violation of orthogonality. The unadjusted data can be described by periodic autoregressive models with a unit root. In simulations, the empirical findings for the German data are replicated, where simple models are used to generate artificial samples. Multivariate seasonal adjustment leads to large periodic correlations. Additive adjustment leads to smaller ones.
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hdl.handle.net/1765/2105 | |
ERIM Top-Core Articles | |
Journal of Business and Economic Statistics | |
Organisation | Erasmus Research Institute of Management |
Franses, P. H., & Ooms, M. (1997). On periodic correlations between estimated seasonal and nonseasonal components for US and German unemployment. Journal of Business and Economic Statistics, 470–481. Retrieved from http://hdl.handle.net/1765/2105 |