TY - JOUR

T1 - Extracting economic cycles using modified autoregressions.

AU - Morton, A. S.

AU - Tunnicliffe Wilson, G.

PY - 2001

Y1 - 2001

N2 - 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.

AB - 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.

U2 - 10.1111/1467-9957.00270

DO - 10.1111/1467-9957.00270

M3 - Journal article

VL - 69

SP - 574

EP - 585

JO - Manchester School

JF - Manchester School

SN - 1463-6786

IS - 5

ER -