Research Publication

A frequency domain representation of the approximation criterion that is implicit in Gaussian maximum likelihood estimation is applied to study the effects of using seasonally adjusted versus seasonally unadjusted data to estimate rational expectations models. Three classes of economic mechanisms for generating seasonality are described. Approximating parameter estimates are computed numerically for several examples.

@article{hansensargent:1993,
  title={Seasonality and Approximation Errors in Rational Expectations Models},
  author={Hansen, Lars P. and Sargent, Thomas J.},
  journal={Journal of Econometrics},
  volume={55},
  number={1-2},
  pages={21--55},
  year={1993},
  publisher={Elsevier}
}