Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/76331
Authors: 
Flaig, Gebhard
Year of Publication: 
2003
Series/Report no.: 
CESifo Working Paper 833
Abstract: 
The production index is an important indicator for assessing the cyclical state of the economy. Unfortunately, the monthly time series is contaminated by many noisy components like seasonal variations, calendar and vacation effects. Only part of those nuisance components are explicitly considered in the seasonal adjustment procedures used by statistical agencies. In this paper, we propose a more flexible specification for the seasonal and working day effects and introduce an indicator for the summer vacations effect. We allow for time-varying parameters and show that the resulting Unobserved Components Model delivers more reliable results for the adjusted series.
Subjects: 
production index
seasonal adjustment
working day effect
business cycles
unobserved components models
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.