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9 - A time series analysis of seasonality in econometric models (1978)
- Edited by Arnold Zellner, University of Chicago, Franz C. Palm, Universiteit Maastricht, Netherlands
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- Book:
- The Structural Econometric Time Series Analysis Approach
- Published online:
- 24 October 2009
- Print publication:
- 21 October 2004, pp 332-396
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Summary
Introduction
The traditional literature on seasonality has mainly focused attention on various statistical procedures for obtaining a seasonally adjusted time series from an observed time series that exhibits seasonal variation. Many of these procedures rely on the notion that an observed time series can be meaningfully divided into several unobserved components. Usually, these components are taken to be a trend or cyclical component, a seasonal component, and an irregular or random component. Unfortunately, this simple specification, in itself, is not sufficient to identify a unique seasonal component, given an observed series. Consequently, there are difficult problems facing those wishing to obtain a seasonally adjusted series. For example, the econometrician or statistician involved in this adjusting process is immediately confronted with several issues. Are the components additive or multiplicative? Are they deterministic or stochastic? Are they independent or are there interaction effects? Are they stable through time or do they vary through time? Either explicitly or implicitly, these types of questions must be dealt with before one can obtain a seasonally adjusted series.
One approach to answering some of these questions would be to incorporate subject-matter considerations into the decision process. In particular, economic concepts may be useful in arriving at a better understanding of seasonality. Within the context of an economic structure (e.g. a simple supply and demand model), the seasonal variation in one set of variables, or in one market, should have implications for the seasonal variation in closely related variables and markets.
13 - Nominal surprises, real factors, and propagation mechanisms
- Edited by William A. Barnett, Kenneth J. Singleton
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- Book:
- New Approaches to Monetary Economics
- Published online:
- 04 August 2010
- Print publication:
- 31 July 1987, pp 273-292
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Summary
Introduction
A predominant focus of macroeconomic research in the last ten years has been on the origins of the business cycle. In particular, it has been popular to view the business cycle as arising from surprise movements in aggregate demand and to argue that these impulses are transmitted to real activity through movements in the price level. In order to generate empirically relevant fluctuations, however, such models must incorporate mechanisms to propagate price surprises over time. That is, to replicate economic fluctuations, it is necessary to transform serially uncorrelated price surprises into serially correlated macroeconomic time series. Unfortunately, despite the large amount of effort devoted in recent years to this type of equilibrium business cycle modeling, relatively little attention has been focused on isolating the empirically important propagation mechanisms.
More recently, we have pursued a line of research that we call “real business cycle theory,” in which disturbances are propagated over time as a result both of economic agents' desire to smooth commodity profiles and capitalistic production with rich intertemporal substitution opportunities. To date, however, these models incorporate only real supplyside or technological disturbances, abstracting from real demand-side influences (such as government spending) or nominal shocks. Nevertheless, the results on propagation mechanisms appear to be relevant for more fully developing the monetary theories of business fluctuation discussed above.
Of course, interest in propagation mechanisms is not new. Indeed, it was the major focus of many of the interwar business cycle theorists.