A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems
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References listed on IDEAS
- 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..
- Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February.
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- Jane Haltmaier, 2011. "Empirical estimation of trend and cyclical export elasticities," International Finance Discussion Papers 1030, Board of Governors of the Federal Reserve System (U.S.).
- 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.
More about this item
KeywordsCommon cycles and trends; Tests of rank; Cointegration;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-01-19 (All new papers)
- NEP-ECM-2003-01-19 (Econometrics)
- NEP-ETS-2003-01-19 (Econometric Time Series)
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