Analysis of Economic Cycles Using Unobserved Components Models
The Unobserved Components Models represent a framework in which phenomena like any periodic behaviour, economic cycles in particular, may be modelled and forecast naturally. The main distinct feature of the methodology used in this paper is the use of a Dynamic Harmonic Regression model, characterised by time variable parameters that may vary following a rich family of models. This class of models are set up in a State Space context that takes advantage of the extraordinary flexibility of the recursive algorithms known as the Kalman Filter and Fixed Interval Smoother. Different versions of the models have to be applied to time series, depending on their time properties. In particular, time series with a non-constant period cycle has to be analysed in a totally different way to other series that exhibit a constant period cycle. A simple method to extract the cyclical information from the series in the case of non-constant period cycles is presented in the paper. The methodology is compared with others and shown working in practice with several examples.
When requesting a correction, please mention this item's handle: RePEc:rec:cycles:v:2:y:2001:i:1_7. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.