Output and Unemployment Dynamics During the Great Recession: A Panel Unobserved Components Analysis

2010 ◽  
Author(s):  
Francis Vitek
Keyword(s):  
Great Recession ◽  
Unobserved Components ◽  
The Great Recession ◽  
Components Analysis

scholarly journals TREND–CYCLE–SEASONAL INTERACTIONS: IDENTIFICATION AND ESTIMATION

2018 ◽  
Vol 23 (8) ◽  
pp. 3163-3188 ◽  
Author(s):  
Irma Hindrayanto ◽  
Jan P.A.M. Jacobs ◽  
Denise R. Osborn ◽  
Jing Tian
Keyword(s):  
Great Recession ◽  
Household Consumption ◽  
Unobserved Components ◽  
Seasonal Interactions ◽  
Consumption Expenditures ◽  
The Great Recession ◽  
Zero Correlation ◽  
Unobserved Components Model ◽  
Simulation Results ◽  
Recession Period

Economists typically use seasonally adjusted data in which the assumption is imposed that seasonality is uncorrelated with trend and cycle. The importance of this assumption has been highlighted by the Great Recession. The paper examines an unobserved components model that permits nonzero correlations between seasonal and nonseasonal shocks. Identification conditions for estimation of the parameters are discussed from the perspectives of both analytical and simulation results. Applications to UK household consumption expenditures and US employment reject the zero correlation restrictions and also show that the correlation assumptions imposed have important implications about the evolution of the trend and cycle in the post-Great Recession period.

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