Periodic linear-quadratic methods for modeling seasonality

DOI10.1016/0165-1889(90)90042-FzbMATH Open0714.90024OpenAlexW1993981042MaRDI QIDQ751463FDOQ751463

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

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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)

Cites Work

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

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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