A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series

Gianluca Cubadda

CEIS Research Paper from Tor Vergata University, CEIS

Abstract: This paper provides a unifying framework in which the coexistence of different form of common cyclical features can be tested and imposed to a cointegrated VAR model. This goal is reached by introducing a new notion of common cyclical features, namely the weak form of polynomial serial correlation common features, which encompasses most of the previous ones. Statistical inference is obtained by means of reduced-rank regression, and alternative forms of common cyclical features are detected by means of tests for over-identifying restrictions on the parameters of the new model. Some iterative estimation procedures are then proposed for simultaneously modelling different forms of common features. Concepts and methods are illustrated by an empirical investigation of the US business cycle indicators.

Keywords: Common Cyclical Features; Reduced Rank Regression. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 19
Date: 2007-05-21
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
https://ceistorvergata.it/RePEc/rpaper/No-102.pdf (application/pdf)

Related works:
Journal Article: A unifying framework for analysing common cyclical features in cointegrated time series (2007)
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:rtv:ceisrp:102

Ordering information: This working paper can be ordered from
CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
https://ceistorvergata.it

Access Statistics for this paper

More papers in CEIS Research Paper from Tor Vergata University, CEIS CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma. Contact information at EDIRC.
Bibliographic data for series maintained by Barbara Piazzi ().