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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

Excel | CSV

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]