2019年整理【管理精品】国际经济(英文版)(17).docxVIP

Harvey Structural Time Series Models Structural time series models use one or more white noise processes as inputs or building blocks. Consequently, they can include ARIMA models as well as be more complex than ARIMA models. The components of a structural time series can include "level", "slope", "irregular", and "periodic". The latter can de used for modeling a seasonal and/or cyclical component. These various components can be excluded(none) or included, and can be fixed(deterministic) or stochastic. The various possibilities are indicated schematically in the following table. Structural Time Series Components: Inclusion Options Component None Fixed Stochastic Level Irregular N. A. Slope Seasonal Cycle Examples of some of the possibilities follow. To begin with, we set irregular, seasonal and cyclical components to zero and concentrate on the nine combinations available from level and slope. Level and Slope Component Combinations The level and slope component can each take one of three forms for a total of nine possible models, as illustrated in the following table. Level and Slope Component Combinations and Models: Examples SLOPE None Fixed Stochastic LEVEL None 1, zero 3, trend 7, integrated random walk Fixed 2, constant 4, constant + trend 8, constant + integrated random walk Stochastic 5, random walk 6, random walk + trend Harvey Structural Models The general structural model framework can be summarized with three equations, the specification of three potential stochastic components, and the specification of two initial conditions. three equations time series(t) = level(t) + irregular(t) level(t) = level(t-1) + slope(t) +stochastic level(t) slope(t) = slope(t-1) + stochachistic slope(t) three potential stochastic components irregular(t) = WN1(t) or 0. stochastic level(t) = WN2(t) or 0. stochastic slope(t) = WN3(t) or 0. level(0) = constant, which could be zero. slope(0) = constant, which could be zero. Various Possibile Specifications #1. No components: Time