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Extracting Economic Cycles using Modified Autoregressions

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  • Alex S. Morton
  • Granville Tunnicliffe Wilson

Abstract

We review a family of modified autoregressive models in both discrete‐ and continuous‐time formulations. We present the case for these models by showing first how a standard discrete‐time autoregressive model with orders selected by criteria such as the Akaike information criterion can fail to identify the correct periods of cyclical variations in a simulated example. We then show how the modified models can overcome this failure, and further illustrate this success with a real example of an unemployment series. A new extension of the continuous‐time modified model to multivariate series is described. This is applied to a pair of series with mixed monthly, quarterly and annual sampling intervals. Common cyclical components of the two series are then extracted.

Suggested Citation

  • Alex S. Morton & Granville Tunnicliffe Wilson, 2001. "Extracting Economic Cycles using Modified Autoregressions," Manchester School, University of Manchester, vol. 69(5), pages 574-585, October.
    • Handle: RePEc:bla:manchs:v:69:y:2001:i:5:p:574-585
    DOI: 10.1111/1467-9957.00270
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