Cyclical Properties of a Real Business Cycle Model
AbstractThis paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts, and correlations are tested against U.S. post-war data using both asymptotic and small-sample distributions. Compared with the model, the data have shorter business cycles, smaller co-movements of different macro variables, and less of a leading role for output. Copyright 1994 by John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 9 (1994)
Issue (Month): S (Suppl. December)
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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