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Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series

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  • Centoni, Marco
  • Cubadda, Gianluca

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 80 (2003)
Issue (Month): 1 (July)
Pages: 45-51

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Handle: RePEc:eee:ecolet:v:80:y:2003:i:1:p:45-51

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References

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  1. Yang, M., 1995. "On Identifying Permanent and Transitory Shocks in VAR Models," Papers 95-5, New South Wales - School of Economics.
  2. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1987. "Stochastic Trends and Economic Fluctuations," NBER Working Papers 2229, National Bureau of Economic Research, Inc.
  3. Gianluca Cubadda, 1999. "Common serial correlation and common business cycles: A cautious note," Empirical Economics, Springer, vol. 24(3), pages 529-535.
  4. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
  5. Warne, A., 1993. "A Common Trends Model: Identification, Estimation and Inference," Papers 555, Stockholm - International Economic Studies.
  6. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
  7. S. Levtchenkova & A. R. Pagan & J. C. Robertson, 1998. "Shocking Stories," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 507-532, December.
  8. Gonzalo, Jesus & Ng, Serena, 2001. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1527-1546, October.
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Cited by:
  1. Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2006. "Measuring the Sources of Cyclical Fluctuations in the G7 Economies," Economics & Statistics Discussion Papers esdp06028, University of Molise, Dept. EGSeI.
  2. Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models Across Frequencies," CEIS Research Paper 82, Tor Vergata University, CEIS.
  3. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008. "Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 341-367, 03.
  4. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Bayesian Inference in the Time Varying Cointegration Model," Working Papers 1121, University of Strathclyde Business School, Department of Economics.
  5. Marco Centoni & Gianluca Cubadda & Alain Hecq, 2008. "Common Shocks, Common Dynamics, and the International Business Cycle," CEIS Research Paper 106, Tor Vergata University, CEIS, revised 07 Jul 2008.
  6. Paresh Narayan, 2008. "Common Trends and Common Cycles in Per Capita GDP: The Case of the G7 Countries, 1870–2001," International Advances in Economic Research, Springer, vol. 14(3), pages 280-290, August.
  7. Atella, Vincenzo & Centoni, Marco & Cubadda, Gianluca, 2007. "Technology shocks, structural breaks and the effects on the business cycle," Economics & Statistics Discussion Papers esdp07041, University of Molise, Dept. EGSeI.
  8. Justyna Wróblewska, 2012. "Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(4), pages 253-267, December.

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