Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series
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- Gonzalo, Jesús & Ng, Serena, 1996.
"A systematic framework for analyzing the dynamic effects of permanent and transitory shocks,"
DES - Working Papers. Statistics and Econometrics. WS
6203, Universidad Carlos III de Madrid. Departamento de Estadística.
- Gonzalo, Jesus & Ng, Serena, 2001. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1527-1546, October.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Universite de Montreal, Departement de sciences economiques.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991.
"Stochastic trends and economic fluctuations,"
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91-4, Federal Reserve Bank of Chicago.
- S. Levtchenkova & A. R. Pagan & J. C. Robertson, 1998.
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Wiley Blackwell, vol. 12(5), pages 507-532, December.
- Gonzalo, Jesus & Granger, Clive W J, 1995.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 13(1), pages 27-35, January.
- Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate Gonzalo and Granger JBES 1995 paper," Statistical Software Components RTZ00074, Boston College Department of Economics.
- Warne, A., 1993. "A Common Trends Model: Identification, Estimation and Inference," Papers 555, Stockholm - International Economic Studies.
- Yang, M., 1995.
"On Identifying Permanent and Transitory Shocks in VAR Models,"
95-5, New South Wales - School of Economics.
- Yang, Minxian, 1998. "On identifying permanent and transitory shocks in VAR models," Economics Letters, Elsevier, vol. 58(2), pages 171-175, February.
- Gianluca Cubadda, 1999. "Common serial correlation and common business cycles: A cautious note," Empirical Economics, Springer, vol. 24(3), pages 529-535.
- Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
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