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The importance of Common-Cyclical Features in VAR analysis: a Monte-Carlo study (Preliminary Version)
(Escola de Pós-Graduação em Economia da FGV, 1999-09-01)
Despite the belief, supported byrecentapplied research, thataggregate datadisplay short-run comovement, there has been little discussion about the econometric consequences ofthese data 'features.' W e use exhaustive M ...
Common cycles in macroeconomic aggregates (revised version)
(Escola de Pós-Graduação em Economia da FGV, 1995-02)
Although there has been substantial research on long-run co-movement (common trends) in the empirical macroeconomics literature. little or no work has been done on short run co-movement (common cycles). Investigating common ...
Common cycles in macroeconomic aggregates
(Escola de Pós-Graduação em Economia da FGV, 1994-04)
Reduced form estimation of multivariate data sets currently takes into account long-run co-movement restrictions by using Vector Error Correction Models (VECM' s). However, short-run co-movement restrictions are completely ...