Hostname: page-component-cd9895bd7-dzt6s Total loading time: 0 Render date: 2024-12-27T18:34:20.915Z Has data issue: false hasContentIssue false

MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK

Published online by Cambridge University Press:  16 May 2002

Marcus J. Chambers
Affiliation:
University of Essex
Joanne S. McGarry
Affiliation:
Loughborough University

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.

Type
Research Article
Copyright
© 2002 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)