We study the impact of seasonal adjustment on the properties of business cycle expansion and recession regimes using analytical, simulation and empirical methods. Analytically, we show that the X-11 adjustment filter both reduces the magnitude of change at turning points and reduces the depth of...

This paper analyzes the stochastic simulation of econometric models using three different methods for specifying the probability distribution of the structural error terms. The impact of these different assumptions on the simulation bias and model variance is explored empirically. Monte Carlo...