| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/t0063
|
| 来源ID | Technical Working Paper 0063
|
| Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root |
| Charles R. Nelson
|
| 发表日期 | 1987-11-01
|
| 出版年 | 1987
|
| 语种 | 英语
|
| 摘要 | Recent research has proposed the state space (88) framework for decomposition of GNP and other economic time series into trend and cycle components, using the Kalman filter. This paper reviews the empirical evidence and suggests that the resulting decomposition may be spurious, just as detrending by linear regression is known to generate spurious trends and cycles in nonstationary time series. A Monte Carlo experiment confirms that when data is generated by a random walk, the 88 model tends to indicate (incorrectly) that the series consists of cyclical variations around a smooth trend. The improvement in fit over the true model will typically appear to be statistically significant. These results suggest that caution should be exercised in drawing inferences about the nature of economic processes from the 88 decomposition. |
| 主题 | Econometrics
|
| URL | https://www.nber.org/papers/t0063
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559680
|
推荐引用方式
GB/T 7714 |
Charles R. Nelson. Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root. 1987.
|
|
文件名：
|
t0063.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
