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A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems

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  • George Kapetanios

    ()
    (Queen Mary, University of London)

Abstract

We provide a new method for jointly consistently estimating common trends and cycles in unit root nonstationary multivariate systems. We concentrate on the MA representation of the differenced data and we jointly impose the reduced rank restriction for the common cycles and the common trends on the MA representation coefficients.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp483.pdf
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Bibliographic Info

Paper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 483.

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Date of creation: Jan 2003
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Handle: RePEc:qmw:qmwecw:wp483

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Related research

Keywords: Common cycles and trends; Tests of rank; Cointegration;

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  1. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec..
  2. 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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Cited by:
  1. Jane Haltmaier, 2011. "Empirical estimation of trend and cyclical export elasticities," International Finance Discussion Papers 1030, Board of Governors of the Federal Reserve System (U.S.).
  2. Chukiat Chaiboonsri & Prasert Chaitip & N. Rangaswamy, 2009. "Modelling International Tourism Demand in Thailand," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(3), pages 125-146.

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