Skip to main content

Extracting Economic Cycles using Modified Autoregressions

Buy Article:

$51.00 plus tax (Refund Policy)

Abstract:

We review a family of modified autoregressive models in both discrete- and continuous-time formulations. We present the case for these models by showing first how a standard discrete-time autoregressive model with orders selected by criteria such as the Akaike information criterion can fail to identify the correct periods of cyclical variations in a simulated example. We then show how the modified models can overcome this failure, and further illustrate this success with a real example of an unemployment series. A new extension of the continuous-time modified model to multivariate series is described. This is applied to a pair of series with mixed monthly, quarterly and annual sampling intervals. Common cyclical components of the two series are then extracted.

Document Type: Original Article

DOI: http://dx.doi.org/10.1111/1467-9957.00270

Affiliations: Lancaster University

Publication date: October 1, 2001

bpl/manc/2001/00000069/00000005/art00005
dcterms_title,dcterms_description,pub_keyword
6
5
20
40
5

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more