Periodic linear-quadratic methods for modeling seasonality

Richard M. Todd

No 127, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: Optimal linear regulator methods are used to represent a class of models of endogenous equilibrium seasonality that has so far received little attention. Seasonal structure is built into these models in either of two equivalent ways: periodically varying the coefficient matrices of a formerly nonseasonal problem or embedding this periodic-coefficient problem in a higher-dimensional sparse system whose time-invariant matrices have a special pattern of zero blocks. The former structure is compact and convenient computationally; the latter can be used to apply familiar convergence results from the theory of time-invariant optimal regulator problems. The new class of seasonality models provides an equilibrium interpretation for empirical work involving periodically stationary time series.

Keywords: Seasonal; variations; (Economics) (search for similar items in EconPapers)
Date: 1989
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Published in Journal of Economic Dynamics and Control (Vol. 14, n. 3-4, July/Oct 1990, pp.763-795)

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