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Cyclical Trends in Continuous Time Models

  • Joanne S. Ercolani
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    It 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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    Paper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 07-13.

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    Length: 10 pages
    Date of creation: Sep 2007
    Date of revision:
    Handle: RePEc:bir:birmec:07-13
    Contact details of provider: Postal: Edgbaston, Birmingham, B15 2TT
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    1. Bergstrom, A.R., 1997. "Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 13(04), pages 467-505, August.
    2. Harvey, A.C. & Trimbur, T.M., 2001. "General Model-based Filters for Extracting Cycles and Trends in Economic Time Series," Cambridge Working Papers in Economics 0113, Faculty of Economics, University of Cambridge.
    3. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
    4. Thomas M. Trimbur, 2006. "Properties of higher order stochastic cycles," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 1-17, 01.
    5. repec:cup:cbooks:9781107411234 is not listed on IDEAS
    6. repec:cup:cbooks:9780521875493 is not listed on IDEAS
    7. Harvey, A. C. & Stock, James H., 1988. "Continuous time autoregressive models with common stochastic trends," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 365-384.
    8. 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(02), pages 387-419, April.
    9. Bergstrom, A. R. & Nowman, K. B. & Wymer, C. R., 1992. "Gaussian estimation of a second order continuous time macroeconometric model of the UK," Economic Modelling, Elsevier, vol. 9(4), pages 313-351, October.
    10. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
    11. Ercolani, Joanne S. & Chambers, Marcus J., 2006. "Estimation Of Differential-Difference Equation Systems With Unknown Lag Parameters," Econometric Theory, Cambridge University Press, vol. 22(03), pages 483-498, June.
    12. A. R. Bergstrom, 2001. "Stability and wage acceleration in macroeconomic models of cyclical growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 327-340.
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