Table D1 Some of the Principal Models in the Structural Framework
Thursday, December 29, 2011
Table D1 Some of the Principal Models in the Structural Framework
| Type of model | σε2 | ση2 | σζ2 | σω2 |
|---|---|---|---|---|
| Level only | ||||
| Constant mean | yes | 0 | 0 | 0 |
| Local level (LL) | yes | yes | 0 | 0 |
| Random walk (RW) | 0 | yes | 0 | 0 |
| Trend only | ||||
| Deterministic | yes | 0 | 0 | 0 |
| Local level with fixed slope | yes | yes | 0 | 0 |
| Random walk with fixed drift | 0 | yes | 0 | 0 |
| Local linear trend (Holt) | yes | yes | yes | 0 |
| Smooth trend | yes | 0 | yes | 0 |
| Second difference | 0 | 0 | yes | 0 |
| Seasonal (with selected trend) | ||||
| Fixed seasonals | (yes or 0) | (yes or 0) | (yes or 0) | 0 |
| Varying seasonals | (yes or 0) | (yes or 0) | (yes or 0) | yes |
| Basic Structural Model (BSM) | yes | yes | yes | yes |
NOTE: [Based on Koopman et al. (2000), page 141]