On alternative state space representations of time series models

DOI10.1016/0165-1889(88)90058-9MaRDI QIDQ1109668zbMATH OpenOpenAlexFDO

Authors Masanao Aoki

Publication date 1988

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(88)90058-9

zbMATH Keywords

cointegration propertiescointegration vectorssmall sample behaviourstate space representationtime series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic growth models (91B62) Economic time series analysis (91B84)

Review text

A state space representation of time series models different from models recently used in the literature is presented. Parameters of the model considered are estimated from the original data, unlike commonly proposed by other researchers, where a priori decomposition of data series into trend and cycles has been required. In the representation the also popular assumption of uncorrelated innovations of two components time series could be omitted. This state space representation is relatively new and unknown in economics and econometrics. It refers to cointegration properties of time series components and cointegration vectors are immediately obtainable. To illustrate the small sample behaviour of alternative representations, models used by Beveridge-Nelson (1981), Nelson (1988) as well as Watson (1986) are presented. The Beveridge- Nelson model performance is compared with alternative algorithms of Aoki by analysis of the latest innovation allocation in data to trend and cycles. It is pointed out that the application of a different representation results not only in various innovation allocations to trend and cycles but also the determined cycles have different durations. The results of modelling the US GNP series are discussed.

Recommendations

• State space modeling of multiple time series
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Cites work

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Cited in

(5)

• Five alternative methods of estimating long-run equilibrium relationships
• A solution to the positivity problem in the state-space approach to modeling vector-valued time series
• State space modeling of multiple time series
• scientific article; zbMATH DE number 1302950 (Why is no real title available?)
• Miscellanea. An improved state space representation for cyclical time series

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