Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series
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- Levtchenkova, S & Pagan, A R & Robertson, J C, 1998.
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- Yang, M., 1995. "On Identifying Permanent and Transitory Shocks in VAR Models," Papers 95-5, New South Wales - School of Economics.
- Warne, A., 1993. "A Common Trends Model: Identification, Estimation and Inference," Papers 555, Stockholm - International Economic Studies.
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"Estimation of Common Long-Memory Components in Cointegrated Systems,"
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- 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.
- 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.
- Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991.
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91-4, Federal Reserve Bank of Chicago.
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