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The importance of common cyclical features in VAR analysis: a Monte-Carlo study

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  • Vahid, Farshid
  • Issler, Joao Victor

Abstract

Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations to investigate the importance of restrictions implied by common-cyclical features for estimates and forecasts based on vector autoregressive models.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 109 (2002)
Issue (Month): 2 (August)
Pages: 341-363

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Handle: RePEc:eee:econom:v:109:y:2002:i:2:p:341-363

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Web page: http://www.elsevier.com/locate/jeconom

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  1. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
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  11. Issler, João Victor & Ferreira, Pedro Cavalcanti Gomes, 1998. "Time-Series Properties and Empirical Evidence of Growth and Infrastructure (Revised Version)," Economics Working Papers (Ensaios Economicos da EPGE) 336, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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  21. repec:fth:harver:1435 is not listed on IDEAS
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