Multivariate detrending under common trend restrictions: implications for business cycle research

DOI10.1016/S0165-1889(98)00048-7zbMATH Open0921.90036MaRDI QIDQ1292270FDOQ1292270

Authors: Sharon Kozicki 

Publication date: 21 June 1999

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Recommendations

• Economic growth and business cycles: a critical comment on detrending time series
• Detrending time-aggregated data
• Modeling and estimating correlated growth and business cycles in a multivariate Hodrick-Prescott filter
• Trend estimation and de-trending via rational square-wave filters
• scientific article; zbMATH DE number 3915477

zbMATH Keywords

business cyclecommon trenddetrend multiple time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic growth models (91B62)

Cites Work

• Low frequency filtering and real business cycles
• Testing for Common Trends
• Time to Build and Aggregate Fluctuations
• Spurious Periodicity in Inappropriately Detrended Time Series
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Title not available (Why is that?)

Cited In (3)

• Vector rational error correction
• Common trends and cycles in I(2) VAR systems
• Detrending time-aggregated data

This page was built for publication: Multivariate detrending under common trend restrictions: implications for business cycle research

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1292270)