CYCLICAL TRENDS IN CONTINUOUS TIME MODELS
Joanne S. Ercolani
Econometric Theory, 2009, vol. 25, issue 4, 1112-1119
It is undoubtedly desirable that econometric models capture the dynamic behavior, 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, for instance, the cyclical growth models of Bergstrom (1966); the 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 considers continuous time cyclical trends, which complement the trend-plus-cycle models in the unobserved components literature but could also be incorporated into Bergstrom type systems of differential equations, as were stochastic trends in Bergstrom (1997).
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