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

Kapetanios, George, A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems (January 2003). U of London Queen Mary Economics Working Paper No. 483, Available at SSRN: https://ssrn.com/abstract=370023 or http://dx.doi.org/10.2139/ssrn.370023

George Kapetanios (Contact Author)

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)