Common stochastic trends, cycles and sectoral fluctuations: a study of output in the UK
نویسندگان
چکیده
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 different trends and cycles. The cycles from the unobserved components model correspond more closely to a reference cycle for aggregate output. JEL Classification: C32, E32.
منابع مشابه
Common cycles in sectoral output in the UK¤
This paper compares the cycles in UK sectoral output generated from both univariate and multivariate unobserved components models. Common trends and cycles are found among the sectors and it is found that these help to identify the cycles in the multivariate model. JEL Classi...cation: C32, E32.
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