Modelling phase shifts among stochastic cycles

DOI10.1111/J.1368-423X.2004.00129.XMaRDI QIDQ3156195zbMATH OpenFDO

Authors Gerhard Rünstler

Publication date 6 January 2005

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2004.00129.X

zbMATH Keywords

stylised business cycle facts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Phase-shifting common cycles and common trends
• Trends and cycles in economic time series: a Bayesian approach
• Hyper-spherical and elliptical stochastic cycles
• Time-series model with periodic stochastic regime switching. I: Theory
• Testing stochastic cycles in macroeconomic time series

Cites work

• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 4060924 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• Tests for Deterministic Versus Indeterministic Cycles
• TESTS OF COMMON STOCHASTIC TRENDS
• Time series analysis by state space methods

Cited in

(6)

• A periodic stage-structure model
• Real and financial cycles: estimates using unobserved component models for the Italian economy
• Phase-shifting common cycles and common trends
• Hyper-spherical and elliptical stochastic cycles
• Stochastic modelling of length of day and universal time
• Peak-to-peak dynamics in the dynastic cycle

This page was built for publication: Modelling phase shifts among stochastic cycles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3156195)