Modelling Phase Shifts Among Stochastic Cycles
Modelling Phase Shifts Among Stochastic Cycles
复制标题
随机循环之间的相移建模
DOI：
10.1111/j.1368-423x.2004.00129.x
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发表时间：
2004
期刊：
影响因子：
--
通讯作者：
Gerhard Rünstler
中科院分区：
文献类型：
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作者：
Gerhard Rünstler
随机周期通常被纳入结构时间序列模型中，以识别宏观经济时间序列中的周期成分。本文提出了一种多变量随机周期的扩展，以考虑单个周期分量之间的相移。随机周期的特性允许以完全对称的方式对相移进行建模。因此，周期分量之间的交叉相关性可以用相移和相位调整关联来表示。一个应用程序展示了相变在美国产出、总工作时间和实际工资之间的商业周期关系中的作用。版权所有皇家经济社会2004
Stochastic cycles are often incorporated in structural time series models to identify the cyclical components in macroeconomic time series. This paper proposes an extension of the multivariate stochastic cycle to account for phase shifts between individual cyclical components. The properties of the stochastic cycle allow phase shifts to be modelled in an entirely symmetrical way. As a result, cross correlations between cyclical components can be expressed in terms of phase shifts and phase-adjusted associations. An application demonstrates the role of phase shifts in the business cycle relationships among output, total hours worked and the real wage in the United States. Copyright Royal Economic Socciety 2004