Abstract
Two structural time series models for annual observations are constructed in terms of trend, cycle, and irregular components. The models are then estimated via the Kalman filter using data on five U.S. macroeconomic time series. The results provide some interesting insights into the dynamic structure of the series, particularly with respect to cyclical behavior. At the same time, they illustrate the development of a model selection strategy for structural time series models.
Keywords
Series (stratigraphy)Kalman filterEconometricsTime seriesOrder of integration (calculus)Computer scienceSeasonal adjustmentStructural breakDynamic factorMathematicsStatisticsArtificial intelligence
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Publication Info
- Year
- 1985
- Type
- article
- Volume
- 3
- Issue
- 3
- Pages
- 216-227
- Citations
- 563
- Access
- Closed
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Cite This
Andrew Harvey
(1985).
Trends and Cycles in Macroeconomic Time Series.
Journal of Business and Economic Statistics
, 3
(3)
, 216-227.
https://doi.org/10.1080/07350015.1985.10509453
Identifiers
- DOI
- 10.1080/07350015.1985.10509453