A Bayesian Time Series Model of Multiple Structural Changes in Level,Trend, and Variance |
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| Authors: | Eric Ghysels Clive W J Granger Pierre L Siklos |
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| Institution: | 1. Centre de Recherche et Déacute;2. veloppement en économique (C.R.D.E.) , Université de Montréal , Montréal , Québec , H3C 3J7 , Canada;3. Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) , Montréal , Québec , H3A 2A5 , Canada;4. Department of Economics , University of California at San Diego , La Jolla , CA , 92093-0508;5. Department of Economics , Wilfrid Laurier University , Waterloo , Ontario , N2L 3C5 , Canada |
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| Abstract: | We investigate whether seasonal-adjustment procedures are, at least approximately, linear data transformations. This question was initially addressed by Young and is important with respect to many issues including estimation of regression models with seasonally adjusted data. We focus on the X-11 program and rely on simulation evidence, involving linear unobserved component autoregressive integrated moving average models. We define a set of properties for the adequacy of a linear approximation to a seasonal-adjustment filter. These properties are examined through statistical tests. Next, we study the effect of X-11 seasonal adjustment on regression statistics assessing the statistical significance of the relationship between economic variables. Several empirical results involving economic data are also reported. |
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| Keywords: | Aggregation Cointegration Nonlinearity Regression X-11 filter |
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