Periodic linear-quadratic methods for modeling seasonality

DOI10.1016/0165-1889(90)90042-FMaRDI QIDQ751463zbMATH OpenOpenAlexFDO

Authors Richard M. Todd

Publication date 1990

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(90)90042-f

zbMATH Keywords

endogenous equilibrium seasonalityOptimal linear regulator methodsperiodically stationary time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

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• An approach to modeling seasonally stationary time series
• Computer Generation of Normal Random Variables
• Dynamic programming and stochastic control
• Investment Under Uncertainty
• Recursive Models of Dynamic Linear Economies
• Seasonal Variability in a Distributed Lag Model
• Seasonally and approximation errors in rational expectations models
• The implications of periodically varying coefficients for seasonal time- series processes
• Time to Build and Aggregate Fluctuations

Cited in

(7)

• Seasonality and equilibrium business cycle theories
• Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples
• On seasonality and business cycle durations: A nonparametric investigation
• Applications of quasi-periodic oscillation models to seasonal small count time series.
• Data revisions and periodic properties of macroeconomic data
• Seasonally and approximation errors in rational expectations models
• Nonparametric method of least squares: accounting for seasonality

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