DLMCYCLE—State Space Model with Common Growth Cycle

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

DLMCYCLE—State Space Model with Common Growth Cycle

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DLMCYCLE.RPF demonstrates estimation of a state-space model with a common growth cycle.

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abi
Posts: 74
Joined: Sat Apr 13, 2013 3:48 am

Re: DLMCYCLE—State Space Model with Common Growth Cycle

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Is there any reference to a paper that uses this model?
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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: DLMCYCLE—State Space Model with Common Growth Cycle

Unread post by TomDoan »

This is basically the Stock-Watson indicator model.

Stock J and Watson M (1991), in K Lahiri & G Moore, eds, Leading Economic Indicators: New Approaches and Forecasting Records. Cambridge: Cambridge University Press, chapter 4.
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