Now showing items 1-2 of 2
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 ...
Estimating sectoral cycles using cointegration and common features
(Escola de Pós-Graduação em Economia da FGV, 1994-03)
This paper investigates the degree of short run and long run co-movement in U.S. sectoral output data by estimating sectoraI trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a reduced ...