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

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Author Info
George Kapetanios () (Queen Mary, University of London)

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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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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics 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;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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This page was last updated on 2009-12-24.

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