On alternative state space representations of time series models
type: Item
instance of: scholarly article
title: On alternative state space representations of time series models
zbMATH Open document ID: 0655.90015
DOI: 10.1016/0165-1889(88)90058-9
author: Masanao Aoki
publication date: 1988-01-01T00:00:00Z
review text: A state space representation of time series models different from models recently used in the literature is presented. Parameters of the model considered are estimated from the original data, unlike commonly proposed by other researchers, where a priori decomposition of data series into trend and cycles has been required. In the representation the also popular assumption of uncorrelated innovations of two components time series could be omitted. This state space representation is relatively new and unknown in economics and econometrics. It refers to cointegration properties of time series components and cointegration vectors are immediately obtainable. To illustrate the small sample behaviour of alternative representations, models used by Beveridge-Nelson (1981), Nelson (1988) as well as Watson (1986) are presented. The Beveridge- Nelson model performance is compared with alternative algorithms of Aoki by analysis of the latest innovation allocation in data to trend and cycles. It is pointed out that the application of a different representation results not only in various innovation allocations to trend and cycles but also the determined cycles have different durations. The results of modelling the US GNP series are discussed.
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 4070594
zbMATH Keywords: state space representation
zbMATH Keywords: time series models
zbMATH Keywords: cointegration properties
zbMATH Keywords: cointegration vectors
zbMATH Keywords: small sample behaviour
MaRDI profile type: Publication
full work available at URL: 0165-1889(88)90058-9
OpenAlex ID: W2034019356
cites work: Q4120233
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published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 4070594