Cyclical Trends in Continuous Time Models
AbstractIt is undoubtedly desirable that econometric models capture the dynamic behaviour,like trends and cycles, observed in many economic processes. Building models with such capabilities has been an important objective in the continuous time econometrics literature, see for instance the cyclical growth models of Bergstrom (1966), the complete economy-wide macroeconometric models of, for example, Bergstrom and Wymer (1976), unobserved stochastic trends of Harvey and Stock (1988 and 1993) and Bergstrom (1997), and differential-difference equations of Chambers and McGarry (2002). This paper’s contribution is to examine cyclical trends formulated in continuous time, which complement the trend-plus-cycle models that are frequently used in the unobserved components literature.
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Bibliographic InfoPaper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 07-13.
Length: 10 pages
Date of creation: Sep 2007
Date of revision:
Cyclical Trends; continuous time models; stochastic differential equations; differential-difference equations;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-30 (All new papers)
- NEP-ECM-2007-09-30 (Econometrics)
- NEP-ETS-2007-09-30 (Econometric Time Series)
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