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Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series

  • Centoni, Marco
  • Cubadda, Gianluca

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File URL: http://www.sciencedirect.com/science/article/B6V84-48BC206-1/2/01868a2bf00efa9440f69713480920a5
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 80 (2003)
Issue (Month): 1 (July)
Pages: 45-51

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Handle: RePEc:eee:ecolet:v:80:y:2003:i:1:p:45-51
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. S. Levtchenkova & A. R. Pagan & J. C. Robertson, 1998. "Shocking Stories," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 507-532, December.
  2. 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.
  3. Warne, A., 1993. "A Common Trends Model: Identification, Estimation and Inference," Papers 555, Stockholm - International Economic Studies.
  4. 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.
  5. 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.
  6. 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.
  7. Gianluca Cubadda, 1999. "Common serial correlation and common business cycles: A cautious note," Empirical Economics, Springer, vol. 24(3), pages 529-535.
  8. 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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