Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.)

Andrew Harvey and Siem Jan Koopman

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: Much of economic analysis presupposes that certain economic time series can be decomposed into trends and cycles. Structural time series models are explicitly set up in terms of such unobserved components. This paper sets up various multivariate structural time series models, shows how they can model the data parsimoniously and how they can aid the analysis of the interrelationships between time series. he computations are carried out using the new STAMP 5.0 package. The graphics and diagnostics play a key role in the development of a model selection methodology.

Keywords: co-integration; commontrends; cycles; Kalman filter; structural time series model; Triangular representation (search for similar items in EconPapers)
Date: 1996-03
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:307

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