Cyclical Trends in Continuous Time Models

Joanne S. Ercolani

Discussion Papers from Department of Economics, University of Birmingham

Abstract: It is undoubtedly desirable that econometric models capture the dynamic behaviour,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, see for instance the cyclical growth models of Bergstrom (1966), the complete 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’s contribution is to examine cyclical trends formulated in continuous time, which complement the trend-plus-cycle models that are frequently used in the unobserved components literature.

Keywords: Cyclical Trends; continuous time models; stochastic differential equations; differential-difference equations (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2007-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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