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Common cyclical features analysis in VAR models with cointegration

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  • Hecq, Alain
  • Palm, Franz C.
  • Urbain, Jean-Pierre

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  • Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2006. "Common cyclical features analysis in VAR models with cointegration," Journal of Econometrics, Elsevier, vol. 132(1), pages 117-141, May.
    • Handle: RePEc:eee:econom:v:132:y:2006:i:1:p:117-141
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    References listed on IDEAS

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    1. Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
    2. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-360, Oct.-Dec..
    3. Cubadda, Gianluca & Hecq, Alain, 2001. "On non-contemporaneous short-run co-movements," Economics Letters, Elsevier, vol. 73(3), pages 389-397, December.
    4. Gianluca Cubadda, 1999. "Common serial correlation and common business cycles: A cautious note," Empirical Economics, Springer, vol. 24(3), pages 529-535.
    5. King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : II. New directions," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 309-341.
    6. Alain Hecq & Franz C. Palm & Jean‐Pierre Urbain, 2000. "Permanent‐transitory Decomposition in Var Models With Cointegration and Common Cycles," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(4), pages 511-532, September.
    7. repec:fgv:epgrbe:v:47:n:2:a:1 is not listed on IDEAS
    8. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October.
    9. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
    10. Anderson, Heather M. & Victor Issler, Joao & Vahid, Farshid, 2006. "Common features," Journal of Econometrics, Elsevier, vol. 132(1), pages 1-5, May.
    11. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October.
    12. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, Decembrie.
    13. Paruolo Paolo, 2002. "Common features and common I(2) trends in VAR systems," Economics and Quantitative Methods qf0217, Department of Economics, University of Insubria.
    14. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    15. Hecq, Alain & Palm, Franz C & Urbain, Jean-Pierre, 2000. "Permanent-Transitory Decomposition in VAR Models with Cointegration and Common Cycles," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(4), pages 511-532, September.
    16. Anderson, Heather M. & Vahid, Farshid, 1998. "Testing multiple equation systems for common nonlinear components," Journal of Econometrics, Elsevier, vol. 84(1), pages 1-36, May.
    17. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo.
    18. Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February.
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