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Title:A note on joint estimation of common cycles and common trends in nonstationary multivariate systems PDF Logo
Authors:Kapetanios, George
Issue Date:2003
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 483
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.
Subjects:Common cycles and trends, Tests of rank, Cointegration
JEL:C32
C14
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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