A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems

George Kapetanios

No 483, Working Papers from Queen Mary University of London, School of Economics and Finance

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 (search for similar items in EconPapers)
JEL-codes: C14 C32 (search for similar items in EconPapers)
Date: 2003-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.qmul.ac.uk/sef/media/econ/research/wor ... 2003/items/wp483.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:483

Access Statistics for this paper

More papers in Working Papers from Queen Mary University of London, School of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Nicholas Owen ( this e-mail address is bad, please contact ).