A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems
U of London Queen Mary Economics Working Paper No. 483
13 Pages Posted: 15 Feb 2003
Date Written: January 2003
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.
Keywords: Common cycles and trends, Tests of rank, Cointegration
JEL Classification: C32, C14
Suggested Citation: Suggested Citation
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