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CYCLICAL TRENDS IN CONTINUOUS TIME MODELS

Published online by Cambridge University Press:  01 August 2009

Joanne S. Ercolani
Joanne S. Ercolani*
Affiliation:
University of Birmingham
*
*Address correspondence to: Joanne S. Ercolani, Department of Economics, University of Birmingham, Edgbaston, Birmingham, B15 2TT U.K.; email: J.S.Ercolani@bham.ac.uk.
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Abstract

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It is undoubtedly desirable that econometric models capture the dynamic behavior, 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, for instance, the cyclical growth models of Bergstrom (1966); the 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 considers continuous time cyclical trends, which complement the trend-plus-cycle models in the unobserved components literature but could also be incorporated into Bergstrom type systems of differential equations, as were stochastic trends in Bergstrom (1997).

Information

Type
ARTICLES
Information
Econometric Theory , Volume 25 , Issue 4: Bergstrom Memorial Dedication Issue , August 2009 , pp. 1112 - 1119
Copyright
Copyright © Cambridge University Press 2009

References

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