Estimating sectoral cycles using cointegration and common features
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 form for sectoral output from first principles. Cointegration and common features (cycles) tests are performed; sectoral output data seem to share a relatively high number of common trends and a relatively low number of common cycles. A special trend-cycle decomposition of the data set is performed and the results indicate a very similar cyclical behavior across sectors and a very different behavior for trends. Indeed. sectors cyclical components appear as one. In a variance decomposition analysis, prominent sectors such as Manufacturing and Wholesale/Retail Trade exhibit relatively important transitory shocks.
Year of publication: |
1994-03
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Authors: | Engle, R. F. ; Issler, João Victor |
Institutions: | FGV/EPGE Escola Brasileira de Economia e Finanças, Fundação Getulio Vargas (FGV) |
Saved in:
freely available
Extent: | application/pdf |
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Series: | Economics Working Papers (Ensaios Economicos da EPGE). - ISSN 0104-8910. |
Type of publication: | Book / Working Paper |
Notes: | Number 232 |
Source: |
Persistent link: https://www.econbiz.de/10005008966
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