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)

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)

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

Cites work

• scientific article; zbMATH DE number 3454717 (Why is no real title available?)
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Low frequency filtering and real business cycles
• Spurious Periodicity in Inappropriately Detrended Time Series
• Testing for Common Trends
• Time to Build and Aggregate Fluctuations

Cited in

(3)

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

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