Morton, A. S. and Tunnicliffe Wilson, G. (2001) Extracting economic cycles using modified autoregressions. Manchester School, 69 (5). pp. 574-585. ISSN 1463-6786
Full text not available from this repository.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.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Manchester School |
| Subjects: | Q Science > QA Mathematics |
| Departments: | Faculty of Science and Technology > Mathematics and Statistics |
| ID Code: | 19319 |
| Deposited By: | ep_ss_importer |
| Deposited On: | 21 Nov 2008 10:20 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 26 Jul 2012 15:28 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/19319 |
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