If aggregate output is driven by integrated productivity shocks, then sectoral output series should display few, if any, cointegrating relationships. Similarly, serial correlation cofeature should be a rare occurrence. These conjectures are confirmed in an analysis with West German data....

We show that the standard procedure for estimating long-run identified vector autoregressions uses a particular estimator of the zero-frequency spectral density matrix of the data. We develop alternatives to the standard procedure and evaluate the properties of these alternative procedures using...

Recent studies using long-run restrictions question the validity of the technology driven real business cycle hypothesis. We propose an alternative identification that maximizes the contribution of technology shocks to the forecast-error variance of labor productivity at a long, but finite,...