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2. Fixed versus time-varying transfer functions for modelling business cycles

Author

Edlund, Per-olov and Sogaard, Henning T.

Subjects
Transfer functions -- Analysis, Business cycles -- Forecasts and trends, Recursive functions -- Analysis, Business, Economics, Government, Mathematics
Abstract

Thetraditional transfer function approach is compared to a recursive estimation procedure that allows the model to change over time in order to pinpoint and estimate transfer functions models relating leading indicators to the Swedish index of industrial production. Results of the comparison show that the recursive method is useful. It was also found that estimates of the model parameters indeed change over time.

Published
1993

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