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A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems

Author

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  • George Kapetanios

    (Queen Mary, University of London)

Abstract

We provide a new method for jointly consistently estimating common trends and cycles in unit root nonstationary multivariate systems. We concentrate on the MA representation of the differenced data and we jointly impose the reduced rank restriction for the common cycles and the common trends on the MA representation coefficients.

Suggested Citation

  • George Kapetanios, 2003. "A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems," Working Papers 483, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:483
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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2003/items/wp483.pdf
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    References listed on IDEAS

    as
    1. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-360, Oct.-Dec..
    2. Jean-Marc Robin & Richard Smith, 2000. "Tests of rank," Post-Print hal-03587662, HAL.
    3. Robin, Jean-Marc & Smith, Richard J., 2000. "Tests Of Rank," Econometric Theory, Cambridge University Press, vol. 16(2), pages 151-175, April.
    4. Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April.
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    Cited by:

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    2. Chukiat Chaiboonsri & Prasert Chaitip & N. Rangaswamy, 2009. "Modelling International Tourism Demand in Thailand," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(3), pages 125-146.

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    More about this item

    Keywords

    Common cycles and trends; Tests of rank; Cointegration;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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