Properties of higher order stochastic cycles
AbstractThis article investigates a general class of stochastic cycles, presenting the main properties in the time and frequency domains. Harvey and Trimbur [Review of Economics and statistics (2003) Vol. 85, pp. 244-55] showed how generalized cyclical processes may be used in unobserved components models to extract smoother cycles in economic series. The stochastic cycle models allow for a flexible description of periodic behaviour in time series data. In the frequency domain, a wide variety of peaked spectral shapes, characteristic of time-varying cyclical dynamics, is produced. The parameters have a direct interpretation, so cyclical behaviour may be studied directly; in a Bayesian approach, the researcher may implement prior views on the period in a consistent way. Extensions to multivariate models are possible. Copyright 2005 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 27 (2006)
Issue (Month): 1 (01)
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- Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K., 2007.
"Trends and cycles in economic time series: A Bayesian approach,"
Journal of Econometrics,
Elsevier, vol. 140(2), pages 618-649, October.
- Harvey, A.C. & Trimbur, T.M. & Dijk, H.K. van, 2005. "Trends and cycles in economic time series: A Bayesian approach," Econometric Institute Report EI 2005-27, Erasmus University Rotterdam, Econometric Institute.
- Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
- Trimbur, Thomas M., 2010. "Stochastic level shifts and outliers and the dynamics of oil price movements," International Journal of Forecasting, Elsevier, vol. 26(1), pages 162-179, January.
- Tucker S. McElroy & Thomas M. Trimbur, 2007. "Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering," Finance and Economics Discussion Series 2007-68, Board of Governors of the Federal Reserve System (U.S.).
- Joanne S. Ercolani, 2007. "Cyclical Trends in Continuous Time Models," Discussion Papers 07-13, Department of Economics, University of Birmingham.
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