Antonio Matas-Mir, Denise R. Osborn, and Marco J. Lombardi, "The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes", Journal of Applied Econometrics, Vol. 23, No. 2, 2008, pp. 257-278. The files sabc-data.zip and sabc-programs contain, respectively, data and programs used throughout the paper. All files are ASCII in DOS format. Data are at quarterly frequency and start from the first line. For further details on data issues, please refer to the Appendix 2 of the paper. DATA - us_gdp_nsa.txt: US GDP, non seasonally adjusted, 1953Q1:2003Q4 (BEA). - us_gdp_sa.txt: US GDP, seasonally adjusted, 1953Q1:2003Q4 (BEA). - us_ip_nsa.txt: US Industrial production, non seasonally adjusted, 1960Q1:2004Q3 (OECD MEI). - us_ip_sa.txt: US Industrial production, seasonally adjusted, 1960Q1:2004Q3 (OECD MEI) - us_emp_nsa.txt: US employment, non seasonally adjusted, 1962Q1:2004Q3 (OECD MEI). - us_emp_sa.txt: US employment, seasonally adjusted, 1962Q1:2004Q3 (OECD MEI) - us_sales_nsa.txt: US wholesale and retail sales, non seasonally adjusted, 1967Q1:2004Q2 (OECD MEI). - us_sales_sa.txt: US wholesale and retail sales, seasonally adjusted, 1967Q1:2004Q2 (BEA) PROGRAMS - simulation.g: Monte Carlo study presented in section 3. The binary variable on line 5 is used to control for the presence of seasonality in the DGP. - figure2.g: This program produces Figure 2 of the paper; it of course needs as input file the output from simulations.g (file mcarlo.out). - tables.g: This program produces the results in Tables 1 and 2 of the paper; it also needs as input file the output from simulations.g (file mcarlo.out). - hansentest.g: Hansen test for breaks in the seasonal pattern reported in table A1. Based on a modified version of the code in Hansen, B.E. (1997), "Approximate asymptotic p-values for structural change tests", Journal of Business and Economic Statistics 15: 60-67. The following code is based on McConnell, M.M. and Perez-Quiros, G. (2000), "Output Fluctuations in the United States: What has Changed since the Early 1980s?", American Economic Review, 90: 1464-1476. - est_gdp_sa.g: Estimation of the MS model for seasonally adjusted GDP - est_gdp_nsa.g: Estimation of the MS model for non seasonally adjusted GDP - est_ip_sa.g: Estimation of the MS model for seasonally adjusted IP - est_ip_nsa.g: Estimation of the MS model for non seasonally adjusted IP - est_emp_sa.g: Estimation of the MS model for seasonally adjusted employment - est_emp_nsa.g: Estimation of the MS model for non seasonally adjusted employment. The following code is based on van Norden, S. and Vigfusson, R. (1996), "Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures", Working Paper 96-3, Bank of Canada. - est_sales_sa.g: Estimation of the MS model for seasonally adjusted sales - est_sales_nsa.g: Estimation of the MS model for non seasonally adjusted sales LIBRARIES - The other files contained in this archive (extension *.prc) are libraries and procedures called by the above listed programs. They should be unzipped in the same folder as the programs and are not meant to be modified.