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DLMCYCLE—State Space Model with Common Growth Cycle
Posted: Fri Jul 12, 2024 4:49 pm
by TomDoan
DLMCYCLE.RPF demonstrates estimation of a state-space model with a common growth cycle.
Detailed Description
Re: DLMCYCLE—State Space Model with Common Growth Cycle
Posted: Tue Jul 23, 2024 5:12 am
by abi
Is there any reference to a paper that uses this model?
Re: DLMCYCLE—State Space Model with Common Growth Cycle
Posted: Tue Jul 23, 2024 2:31 pm
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.