 Short-Run Dynamics in Cointegrated SystemsOxford Bulletin of Economics and Statistics, 1997, vol. 59, issue 3, 405-22 Abstract: In this paper the author builds a unifying framework under which the time-domain properties of the permanent-transitory decompositions available in the literature are investigated. Starting from the state space representation of a cointegrated system expressions are derived for the (common) trends and cycles of the Beveridge-Nelson decomposition involving quantities already available from the interim multiplier representation. The cycles result from both movements along the attractor and adjustment dynamics; the latter are shown to be the transitory component of the Gonzalo-Granger decomposition. The two decompositions are equivalent when the number of common cycles and trends add up to the dimension of the system. Algorithms for the extraction of the components are given and the results are illustrated with respect to a trivariate system consisting of US per capita GNP, Private Consumption and Investment. Copyright 1997 by Blackwell Publishing Ltd Date: 1997 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:59:y:1997:i:3:p:405-22 Ordering information: This journal article can be ordered from Access Statistics for this article Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC. |
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