DLMCYCLE.RPF demonstrates estimation of a state-space model with a common growth cycle.
Detailed Description
DLMCYCLE—State Space Model with Common Growth Cycle
Re: DLMCYCLE—State Space Model with Common Growth Cycle
Is there any reference to a paper that uses this model?
Re: DLMCYCLE—State Space Model with Common Growth Cycle
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.
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.