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On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment

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  • Ooms, Marius
  • Franses, Philip Hans

Abstract

The authors examine the orthogonality assumption of seasonal and nonseasonal components for official quarterly unemployment figures in Germany and the United States. Although nonperiodic correlations do not seem to reject the orthogonality assumption, a periodic analysis based on correlation functions that vary with the seasons indicates the violation of orthogonality. The authors find that the unadjusted data can be described by periodic autoregressive models with a unit root. In simulations, the authors replicate the empirical findings for the German data, where they use these simple models to generate artificial samples. Multiplicative seasonal adjustment leads to large periodic correlations. Additive adjustment leads to smaller ones.

Suggested Citation

  • Ooms, Marius & Franses, Philip Hans, 1997. "On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 470-481, October.
    • Handle: RePEc:bes:jnlbes:v:15:y:1997:i:4:p:470-81
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    Citations

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    Cited by:

    1. M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
    2. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics.
    3. Ooms, M. & Franses, Ph.H.B.F., 1998. "A seasonal periodic long memory model for monthly river flows," Econometric Institute Research Papers EI 9842, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Siem Jan Koopman & Philip Hans Franses, 2002. "Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 509-526, December.
    5. Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
    6. Franses Philip Hans & de Bruin Paul, 2000. "Seasonal Adjustment and the Business Cycle in Unemployment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(2), pages 1-14, July.
    7. Raymund Abara, 2006. "Estimation and evaluation of asset pricing models with habit formation using Philippine data," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 493-497.

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