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Activity Number: 444
Type: Invited
Date/Time: Wednesday, August 5, 2009 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract - #303223
Title: Periodic Unobserved Components in Seasonal Time Series
Author(s): Siem Jan Koopman*+
Companies: Vrije Universiteit Amsterdam
Address: Dept of Econometrics, Amsterdam, 1019 TR, The Netherlands
Keywords:
Abstract:

We introduce a general class of periodic unobserved components time series models with stochastic trend and seasonal components and with novel periodic stochastic stationary components. The general state space formulation of the periodic model allows for exact maximum likelihood estimation, signal extraction and forecasting. Consequences for model-based seasonal adjustment are discussed. The new periodic model is applied to postwar monthly U.S. unemployment series and where we identify a significant periodic stochastic cycle. A detailed periodic analysis is presented including a comparison between the performances of the periodic and the non-periodic unobserved components models.

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