IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v18y2002i02p387-419_18.html
   My bibliography  Save this article

Modeling Cyclical Behavior With Differential-Difference Equations In An Unobserved Components Framework

Author

Listed:
  • Chambers, Marcus J.
  • McGarry, Joanne S.

Abstract

This paper considers a continuous time unobserved components model in which the cyclical component follows a differential-difference equation whereas the trend and seasonal components follow more standard differential equations. Estimation of the parameters of the model with either a stock or a flow variable is analyzed using a frequency domain Gaussian estimator whose asymptotic properties are derived paying particular attention to the role of a truncation parameter that arises in the practical computation of the spectral density function. The results of a simulation exercise, which assesses the finite sample performance of the estimator, are also provided.

Suggested Citation

  • Chambers, Marcus J. & McGarry, Joanne S., 2002. "Modeling Cyclical Behavior With Differential-Difference Equations In An Unobserved Components Framework," Econometric Theory, Cambridge University Press, vol. 18(2), pages 387-419, April.
    • Handle: RePEc:cup:etheor:v:18:y:2002:i:02:p:387-419_18
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466602182077/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2011. "Estimations of the Natural Rate of Interest in Colombia," Money Affairs, CEMLA, vol. 0(1), pages 33-75, January-J.
    2. Joanne S. Ercolani, 2010. "On the Asymptotic Properties of a Feasible Estimator of the Continuous Time Long Memory Parameter," Discussion Papers 10-09, Department of Economics, University of Birmingham.
    3. Joanne S. Ercolani, 2007. "Cyclical Trends in Continuous Time Models," Discussion Papers 07-13, Department of Economics, University of Birmingham.
    4. 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.).
    5. Joanne S. Ercolani, 2014. "Cyclical Activity and Gestation Lags in Investment," Manchester School, University of Manchester, vol. 82(5), pages 620-630, September.
    6. Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:18:y:2002:i:02:p:387-419_18. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.