Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series
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- Gianluca Cubadda, 1999. "Common serial correlation and common business cycles: A cautious note," Empirical Economics, Springer, vol. 24(3), pages 529-535.
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- Tom Doan, . "RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results," Statistical Software Components RTZ00107, Boston College Department of Economics.
- Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
- 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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- Yang, Minxian, 1998. "On identifying permanent and transitory shocks in VAR models," Economics Letters, Elsevier, vol. 58(2), pages 171-175, February.
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"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.
- 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.
- Warne, A., 1993. "A Common Trends Model: Identification, Estimation and Inference," Papers 555, Stockholm - International Economic Studies.
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