Does Seasonal Adjustment Change Inference from Markov Switching Models?

In this paper we show that the answer to the question in the title is affirmative, i.e. seasonal adjustment increases the probabilities in a Markov switching regime model of staying in the same regime. This phenomenon is illustrated through Monte Carlo Simulations and with two examples concerning German unemployment and US industrial production

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Year of publication:	1998
Authors:	Franses, Philip Hans
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Saisonale Schwankungen \| Seasonal variations
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Macroeconomics Volltext nicht verfügbar
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014052376