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Short-Run Dynamics in Cointegrated Systems

  • Proietti, Tommaso

In this paper the author builds a unifying framework under which the time-domain properties of the permanent-transitory decompositions available in the literature are investigated. Starting from the state space representation of a cointegrated system expressions are derived for the (common) trends and cycles of the Beveridge-Nelson decomposition involving quantities already available from the interim multiplier representation. The cycles result from both movements along the attractor and adjustment dynamics; the latter are shown to be the transitory component of the Gonzalo-Granger decomposition. The two decompositions are equivalent when the number of common cycles and trends add up to the dimension of the system. Algorithms for the extraction of the components are given and the results are illustrated with respect to a trivariate system consisting of US per capita GNP, Private Consumption and Investment. Copyright 1997 by Blackwell Publishing Ltd

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 59 (1997)
Issue (Month): 3 (August)
Pages: 405-22

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Handle: RePEc:bla:obuest:v:59:y:1997:i:3:p:405-22
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