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Citations for " Permanent-Transitory Decomposition in VAR Models with Cointegration and Common Cycles"

by Hecq, Alain & Palm, Franz C & Urbain, Jean-Pierre

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  1. Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
  2. H.K. van Dijk, 2004. "Twentieth Century Shocks, Trends and Cycles in Industrialized Nations," De Economist, Springer, vol. 152(2), pages 211-232, June.
  3. Hecq Alain & Victor Issler João, 2012. "A Common-Feature Approach for Testing Present-Value Restrictions with Financial Data," Research Memorandum 006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  4. repec:kap:iaecre:v:14:y:2008:i:3:p:280-290 is not listed on IDEAS
  5. Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
  6. Enzo Weber, 2012. "Regional and outward economic integration in South-East Asia," Applied Economics, Taylor & Francis Journals, vol. 44(10), pages 1271-1283, April.
  7. Luca GATTINI & Paul HIEBERT, "undated". "Forecasting and Assessing Euro Area House Prices Through the Lens of Key Fundamentals," EcoMod2010 259600061, EcoMod.
  8. Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
  9. Paresh Kumar Narayan & Seema Narayan, 2008. "The role of permanent and transitory shocks in explaining international health expenditures," Health Economics, John Wiley & Sons, Ltd., vol. 17(10), pages 1171-1186.
  10. Sven Schreiber, 2011. "The estimation uncertainty of permanent-transitory decompositions in cointegrated systems," IMK Working Paper 3-2011, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  11. Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2007. "Common shocks, common dynamics, and the international business cycle," Economic Modelling, Elsevier, vol. 24(1), pages 149-166, January.
  12. James M. Nason & John H. Rogers, 2008. "Exchange rates and fundamentals: a generalization," FRB Atlanta Working Paper 2008-16, Federal Reserve Bank of Atlanta.
  13. Hassan Shirvani & Barry Wilbratte, 2009. "The permanent income hypothesis in five major industrial countries: a multivariate trend-cycle decomposition test," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(1), pages 43-59, January.
  14. Issler, João Victor & Vahid, Farshid, 2002. "The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 445, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  15. Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR," Textos para discussão 384, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  16. Bilgili, Faik, 2007. "The Permanent and Transitory Effects on Consumption and Income: Evidence from the Turkish Economy," MPRA Paper 24090, University Library of Munich, Germany, revised 20 Jul 2010.
  17. Neri, Marcelo Cortes, 2014. "Brazil's middle classes," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  18. repec:ers:ijebaa:v:iv:y:2016:i:2:p:70-96 is not listed on IDEAS
  19. Christoph Schleicher, 2007. "Codependence in cointegrated autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 137-159.
  20. Issler, Joao Victor & Vahid, Farshid, 2006. "The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity," Journal of Econometrics, Elsevier, vol. 132(1), pages 281-303, May.
  21. Francisco Barillas & Christoph Schleicher, 2003. "Common Trends and Common Cycles in Canadian Sectoral Output," Staff Working Papers 03-44, Bank of Canada.
  22. Jorge Herrera Hernández, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 303-323, November.
  23. Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, 04.
  24. Paresh Narayan, 2008. "Common Trends and Common Cycles in Per Capita GDP: The Case of the G7 Countries, 1870–2001," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(3), pages 280-290, August.
  25. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series 451, CESifo Group Munich.
  26. Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
  27. Michel Beine & Bertrand Candelon & Alain Hecq, 2000. "Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(2), pages 115-132, June.
  28. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
  29. Willie Lahari, 2011. "Assessing Business Cycle Synchronisation - Prospects for a Pacific Islands Currency Union," Working Papers 1110, University of Otago, Department of Economics, revised Oct 2011.
  30. Beneš, Jaromí­r & Vávra, David, 2005. "Eigenvalue filtering in VAR models with application to the Czech business cycle," Working Paper Series 549, European Central Bank.
  31. Osmani Teixeira de Carvalho Guillén & Alain Hecq & João Victor Issler & Diogo Saraiva, 2013. "Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," Working Papers Series 330, Central Bank of Brazil, Research Department.
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