Hostname: page-component-78c5997874-m6dg7 Total loading time: 0 Render date: 2024-11-09T12:47:16.309Z Has data issue: false hasContentIssue false
  • English
  • Français

Persistence and Seasonality in Output and Employment of the Federal Republic of Germany

Published online by Cambridge University Press:  17 August 2016

Jürgen Wolters
Jürgen Wolters*
Affiliation:
Freie Universität Berlin
Get access

Summary

The purpose of this paper is to investigate whether shocks to output and employment had permanent or transitory effects during the period from 1961 to 1990 in the Federal Republic of Germany. There are a lot of parametric and non-parametric approaches which can be used for data generating processes which are difference-stationary or trend-stationary. But especially output and employment time series show very strong seasonal movements. Before employing usual persistence measures one has to test for seasonal integration. The application of seasonal adjustment procedures which are typically used in practice lead to different degrees of persistence, so one has to be very careful in interpreting the results.

Résumé

Résumé

Le but de cet article est de déterminer si les effets des chocs sur la production et l'emploi en RFA, durant le période 1961-1990, furent transitoires ou permanents. Il existe de nombreuses approches paramétriques et non-paramétriques qui peuvent être utilisées pour des processus générateurs de données, qui sont stationnaires soit par différences soit par tendance. Mais ce sont surtout les séries temporelles de la production et de l'emploi qui sont caracterisees par de fortes variations saisonieres. Avant d'utiliser les mesures de persistence ordinaires, il faut tester l'intégration saisonière. La mise en oeœuvre des procédés d'ajustement saisonier utilisés habituellement conduit à différents degrés de persistence. Une grande prudence dans l'interpŕetation des résultats est dès lors requise.

Keywords

E32C22C14E32C22C14
Type
Part IV: Time Series Analysis of Output and Employment
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 58 , Issue 3-4: Output and Employment Fluctuations , 1992 , pp. 420 - 439
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1992 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

(*)

I thank Dr. Herbert S. Buscher and Uwe Hassler, Freie Universität Berlin, as well as three anonymous referees for helpful comments and suggestions.

References

REFERENCES

Beveridge, S., and Nelson, C.R.. (1981), A New Approach to the Decomposition of Economic Time Series into Permanent and Transient Components with Particular Attention to Measurement of the Business Cycle, Journal of Monetary Economics, 7, pp. 151–174.Google Scholar
Campbell, J. Y., and Mankiw, N. G. (1987a), Permanent and Transitory Components in Macroeconomic Fluctuations, American Economic Review Papers and Proceedings, 77, pp. 111–117.Google Scholar
Campbell, J. Y., and Mankiw, N. G. (1987b), Are Output Fluctuations Transitory?, Quarterly Journal of Economics, 102, pp. 857–880.Google Scholar
Christiano, L. J., and Eichenbaum, M. (1990), Unit Roots in Real GNP: Do We Know, and Do We Care? in: Meltzer, A. H. (ed), Unit Roots, Investment Measures and Other Essays, pp. 7–61, Carnegie-Rochester Conference Series on Public Policy Vol. 32, Amsterdam, North-Holland Google Scholar
Cochrane, J. H. (1988), How Big is the Random Walk in GNP?, Journal of Political Economy, 96, pp. 893–920.Google Scholar
Cochrane, J. H. (1991), A Critique of the Application of Unit Root Tests, Journal of Economic Dynamics and Control, 15, pp. 275–284.Google Scholar
Dickey, D. A., Hasza, H. P., and Fuller, W. A. (1984), Testing for Unit Roots in Seasonal Time Series, Journal of the American Statistical Association, 79, pp. 355–367.Google Scholar
Engle, R. F., and Granger, C. W. J. (1987), Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55, pp. 251–276.Google Scholar
Evans, G. (1989), Output and Unemployment Dynamics in the United States: 1950-1985, Journal of Applied Econometrics, 4, pp. 213–237.Google Scholar
Franz, W. (ed) (1990), Hysteresis Effects in Economic Models, Heidelberg, Physica.Google Scholar
Ghysels, R. (1990), Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product, Journal of Business and Economic Statistics, 8, pp. 145–152.Google Scholar
Hylleberg, S., Engle, R. F. Granger, C. W. J., and Yoo, B. S. (1990), Seasonal Integration and Cointegration, Journal of Econometrics, 44, pp. 215–238.Google Scholar
Jaeger, A., and Kunst, R. M. (1990), Seasonal Adjustment and Measuring Persistence in Output, Journal of Applied Econometrics, 5, pp. 47–58.Google Scholar
Kmenta, J. (1986), Elements of Econometrics, Second Edition, New York, Macmillan Publishing Company.Google Scholar
KöNig, H., and Wolters, J. (1972), Einführung in die Spektralanalyse ökonomischer Zeitreihen, Meisenheim am Glan, Verlag Anton Hain.Google Scholar
Lippi, M., and Reichlin, L. (1991), Trend-Cycle Decomposition and Measures of Persistence: Does Time Aggregation Matter?, Economic Journal, 101, pp. 314–323.Google Scholar
Nelson, Ch. R., and Plosser, Ch. I. (1982), Trends and Random Walks in Macroeconomic Time Series, Journal of Monetary Economics, 10, pp. 139–162.Google Scholar
Nourney, M., and Soll, H. (1976), Analyse von Zeitreihen nach dem Berliner Verfahren, Version 3, in: Schäffer, K. A. (ed), Beiträge zur Zeitreihenanalyse, pp. 129–152, Sonderhefte zum Allgemeinen Statistischen Archiv, Heft 9, Göttingen, Vandenhoek und Ruprecht.Google Scholar
Pesaran, M. H., Pierse, R. G. and Lee, K. G. (1990), Persistence, Cointegration and Aggregation: A Disaggregated Analysis of Output Fluctuations in the US Economy, DAE Working paper, No. 9020, University of Cambridge.Google Scholar
Tiao, G., and Tsay, R. S. (1983), Consistency of Least Squares Estimates of Autoregressive Parameters in ARMA-Models, Annals of Statistics, 11, pp. 856–871.Google Scholar
Wolters, J. (1991), Alternative Ansätze zur Messung der Persistenz in ökonomischen Zeitreihen, Allgemeines Statistisches Archiv, 75, pp. 184–196.Google Scholar