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Estimating Sectoral Cycles Using Cointegration and Common Features Author info | Abstract | Publisher info | Download info | Related research | Statistics Issler, João Victor
Engle, Robert F.
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Paper provided by Graduate School of Economics, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number
232.
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Date of creation: 01 Mar 1994Date of revision:
Handle: RePEc:fgv:epgewp:232Contact details of provider: Postal: Praia de Botafogo 190, sala 1100, Rio de Janeiro/RJ - CEP: 22253-900 Phone: 55-21-2559-5871 Fax: 55-21-2553-8821 Email: Web page: http://epge.fgv.br More information through EDIRC
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Edward C. Prescott, 1986.
"Theory ahead of business cycle measurement ,"
Quarterly Review ,
Federal Reserve Bank of Minneapolis, issue Fall, pages 9-22.
[Downloadable!]
Other versions:
Edward C. Prescott, 1986.
"Theory ahead of business cycle measurement ,"
Staff Report
102, Federal Reserve Bank of Minneapolis.
[Downloadable!] Prescott, Edward C., 1986.
"Theory ahead of business-cycle measurement ,"
Carnegie-Rochester Conference Series on Public Policy ,
Elsevier, vol. 25(1), pages 11-44, January.
[Downloadable!] (restricted) Steven N. Durlauf, 1989.
"Output Persistence, Economic Structure, and the Choice of Stabilization Policy ,"
Brookings Papers on Economic Activity ,
Economic Studies Program, The Brookings Institution, vol. 20(1989-2), pages 69-136.
[Downloadable!]
Long, John B, Jr & Plosser, Charles I, 1983.
"Real Business Cycles ,"
Journal of Political Economy ,
University of Chicago Press, vol. 91(1), pages 39-69, February.
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Alan C. Stockman, 1989.
"Sectoral and National Aggregate Disturbances to Industrial Output in Seven European Countries ,"
NBER Working Papers
2313, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Loungani, Prakash & Rogerson, Richard, 1989.
"Cyclical fluctuations and sectoral reallocation : Evidence from the PSID ,"
Journal of Monetary Economics ,
Elsevier, vol. 23(2), pages 259-273, March.
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John Y. Campbell & N. Gregory Mankiw, 1987.
"Permanent and Transitory Components in Macroeconomic Fluctuations ,"
NBER Working Papers
2169, National Bureau of Economic Research, Inc.
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Other versions: John H. Cochrane, 1994.
"Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Shocks, Detrending Methods ,"
NBER Working Papers
3427, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing ,"
Econometrica ,
Econometric Society, vol. 55(2), pages 251-76, March.
[Downloadable!] (restricted)
Robert F. Engle & Sharon Kozicki, 1990.
"Testing For Common Features ,"
NBER Technical Working Papers
0091, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Robert F. Engle & Sharon Kozicki, 1990.
"Testing for Common Featurs ,"
University of California at San Diego, Economics Working Paper Series
90-23, Department of Economics, UC San Diego.
Engle, Robert F & Kozicki, Sharon, 1993.
"Testing for Common Features ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 11(4), pages 369-80, October.
Granger, Clive W J, 1986.
"Developments in the Study of Cointegrated Economic Variables ,"
Oxford Bulletin of Economics and Statistics ,
Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
Nelson, Charles R & Kang, Heejoon, 1981.
"Spurious Periodicity in Inappropriately Detrended Time Series ,"
Econometrica ,
Econometric Society, vol. 49(3), pages 741-51, May.
[Downloadable!] (restricted)
Other versions: Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1992.
"Stochastic Trends and Economic Fluctuations ,"
NBER Working Papers
2229, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991.
"Stochastic trends and economic fluctuations ,"
Working Paper Series, Macroeconomic Issues
91-4, Federal Reserve Bank of Chicago.
King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991.
"Stochastic Trends and Economic Fluctuations ,"
American Economic Review ,
American Economic Association, vol. 81(4), pages 819-40, September.
[Downloadable!] (restricted) Long, John B, Jr & Plosser, Charles I, 1987.
"Sectoral vs. Aggregate Shocks in the Business Cycle ,"
American Economic Review ,
American Economic Association, vol. 77(2), pages 333-36, May.
[Downloadable!] (restricted)
Johansen, Soren, 1991.
"Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models ,"
Econometrica ,
Econometric Society, vol. 59(6), pages 1551-80, November.
[Downloadable!] (restricted)
Rogerson, Richard, 1987.
"An Equilibrium Model of Sectoral Reallocation ,"
Journal of Political Economy ,
University of Chicago Press, vol. 95(4), pages 824-34, August.
[Downloadable!] (restricted)
Nelson, Charles R & Kang, Heejoon, 1984.
"Pitfalls in the Use of Time as an Explanatory Variable in Regression ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 2(1), pages 73-82, January.
Other versions: Farshid Vahid & Robert F. Engle, 1992.
"Common Trends and Common Cycles ,"
University of California at San Diego, Economics Working Paper Series
92-04, Department of Economics, UC San Diego.
Other versions: King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988.
"Production, growth and business cycles : I. The basic neoclassical model ,"
Journal of Monetary Economics ,
Elsevier, vol. 21(2-3), pages 195-232.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Issler, João Victor & Vahid, Farshid, 2002.
"The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity ,"
Economics Working Papers (Ensaios Economicos da EPGE)
450, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!]
Other versions:
Issler, João Victor & Vahid, Farshid, 2001.
"The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity ,"
Economics Working Papers (Ensaios Economicos da EPGE)
429, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!] Issler, João Victor & Vahid, Farshid, 2003.
"The missing link: Using the NBER recession indicator to construct coincident and leading indices of economic activity ,"
Economics Working Papers (Ensaios Economicos da EPGE)
492, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!] Issler, João Victor & Vahid, Farshid, 2002.
"The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity ,"
Economics Working Papers (Ensaios Economicos da EPGE)
445, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
[Downloadable!] Issler, J.V. & Vahid, F., 2001.
"The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity ,"
Monash Econometrics and Business Statistics Working Papers
9/2001, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!] Issler, Joao Victor & Vahid, Farshid, 2006.
"The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity ,"
Journal of Econometrics ,
Elsevier, vol. 132(1), pages 281-303, May.
[Downloadable!] (restricted) Chan Swee Lean, 2001.
"Empirical tests to discern linkages between construction and other economic sectors in Singapore ,"
Construction Management & Economics ,
Taylor and Francis Journals, vol. 19(4), pages 355-363, July.
[Downloadable!] (restricted)
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