Regional Income Fluctuations: Common Trends and Common Cycles
نویسندگان
چکیده
منابع مشابه
Common stochastic trends, cycles and sectoral fluctuations: a study of output in the UK
Two alternative methodologies are compared for identifying common trends and cycles in a set of variables. One, following Harvey, uses an unobserved components structural time series model. The other, following Vahid and Engle, is based on a multivariate BeveridgeNelson decomposition. Both approaches are applied to a four sector model of output in the UK over the period 1970Q1-1993Q2, producing...
متن کاملCommon Trends and Common Cycles in Canada: Who Knew So Much Has Been Going On?
It is generally accepted that convergence is well established for regional Canadian per capita outputs. The authors present evidence that long-run movements are driven by two stochastic common trends in this time series. This evidence casts doubt on the convergence hypothesis for Canada. Another prevalent belief is that Canada forms an optimal currency area (OCA). The authors uncover three seri...
متن کاملMaking Exchange Rates Sparkle: Restricting Its Present-Value Model with Common Trends and Common Cycles
Abstract Exchange rates have raised the ire of economists for more than 20 years. A problem is that there appears to be no exchange rate model that systematically beats a naive random walk in out of sample forecasts. Economists also find it irksome that theoretical models are unable to explain short-, medium-, and long-run exchange rate movements. Engel and West (2005) show that these failures ...
متن کاملTrends in Nonstationary Multivariate Systems A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems
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.
متن کاملCommon cycles and economic uctuations
In this paper we analyze both theoretically and empirically the identifying restrictions on the impulse response functions, implied by the presence of common trends and common cycles. The notion of a complete set of common cycles is exploited to provide a data{dependent orthogonalization of disturbances, keeping separate the contribution to the permanent and transitory components of economic uc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economics and Statistics
سال: 2001
ISSN: 0034-6535,1530-9142
DOI: 10.1162/00346530152480090