Common trends and cycles in I(2) VAR systems

Paolo Paruolo

Economics and Quantitative Methods from Department of Economics, University of Insubria

Abstract: This paper analyzes common cycles in I(2) vector autoregressive (VAR) systems. We consider di®erent choices of stationary variables extracted from a VAR, including deviations from equilibria. This extension is based on the equilibrium dynamics representation of the system, introduced in this paper. Inference on the number of common features is addressed via reduced rank regression, as well as estimation of the cofeature relations and testing. An application to Australian prices is presented; it is found that the deviation from one equilibrium relation is an innovation process, whereas no common cycles can be obtained for the acceleration rates.

Keywords: Common features; Cointegration; Common cycles; I(2); Reduced rank regression. (search for similar items in EconPapers)
Pages: 27 pages
Date: 2004-05
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https://www.eco.uninsubria.it/RePEc/pdf/QF2002_29.pdf (application/pdf)

Related works:
Journal Article: Common trends and cycles in I(2) VAR systems (2006)
Working Paper: Common trends and cycles in I(2) VAR systems (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0217tris

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