The cyclical sensitivity of seasonality in US employment

This paper investigates interactions between seasonal and cyclical movement s in U.S. payroll employment. Using a multivariate unobserved components mo del, we test for such interactions and find that they are statistically sig nificant in a number of industries. Still, most industry-level seasonality appears to be idiosyncratic. The model also identifies an unobserved common cycle that exhibits similar business cycle properties, but smaller seasona l variation, than aggregate payroll employment. The overall industry-level seasonal factors generated by our model do not differ much from univariate X-ll seasonals in sample, but some differences arise in out-of-sample exper iments. (C) 1999 Published by Elsevier Science B.V. All rights reserved.