MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
提出一个连续时间未观测成分模型，其中周期成分由微分差分方程描述，趋势和季节成分用标准微分方程，并用频域高斯估计器估计参数，推导了渐近性质并进行了模拟评估。
This paper considers a continuous time unobserved components model in which the cyclical component follows a differential-difference equation whereas the trend and seasonal components follow more standard differential equations. Estimation of the parameters of the model with either a stock or a flow variable is analyzed using a frequency domain Gaussian estimator whose asymptotic properties are derived paying particular attention to the role of a truncation parameter that arises in the practical computation of the spectral density function. The results of a simulation exercise, which assesses the finite sample performance of the estimator, are also provided.