This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present in the Hylleberg-Engle-Granger-Yoo decomposition of these series when there exists a linear combination of their...

This note argues that large VAR models with common cyclical feature restrictions provide an attractive framework for parsimonious implied univariate final equations, justifying on the one hand the estimation of homogenous panels with dynamic heterogeneity and a common factor structure, and on...

This note concerns with the marginal models associated with a given vector autoregressive model. In particular, it is shown that a reduction in the orders of the univariate ARMA marginal models can be determined by the presence of variables integrated with different orders. The concepts and...

This paper proposes a strategy to detect the presence of common serial cor- relation in large‐dimensional systems. We show that partial least squares can be used to consistently recover the common autocorrelation space. Moreover, a Monte Carlo study reveals that univariate autocorrelation...