Analysis of West German Macroeconomic Data Using Common Trends and Common Cycles / Eine Analyse westdeutscher Makrodaten anhand gemeinsamer Trends und gemeinsamer Zyklen

Lücke Bernd
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Lücke Bernd: Freie Universität Berlin, Volkswirtschaftslehre WE 2, Institut für Statistik u. Ökonometrie, Boltzmannstr. 20, D-14195 Berlin

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1995, vol. 214, issue 6, 675-696

Abstract: This paper is intended to explore a new way of analyzing macroeconomic datasets. For a dataset of twenty-one West German variables a common-trends-common-cycle representation is aimed at which allows for a multivariate Beveridge-Nelson decomposition of the data. However, standard F-tests reveal that the number of linearly independent cointegrating vectors plus the number of linearly independent serial correlation cofeature vectors do not add up to the dimension of the system. A slightly weaker notion of cofeature is used to derive an approximate trend-cycle decomposition. For most of the variables, this approximation seems to work quite well. Analysis of the cyclical components indicates that interest rates are procyclical with a lead and anticyclical with a lag. The real wage is at most very weakly procyclical and definitely not anticyclical, while the price level is procyclical.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:214:y:1995:i:6:p:675-696

DOI: 10.1515/jbnst-1995-0604

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