TY  - BOOK
AU  - Kozicki,Sharon
TI  - Multivariate detrending under common trend restrictions: implications for business cycle research
T2  - Research Working Paper / Federal Reserve Bank of Kansas City
U1  - 330.015 195 
PY  - 1996///
CY  - Kansas City
PB  - Federal Reserve Bank of Kansas City
KW  - ANALISIS DE COVARIANZA
KW  - MODELOS MATEMATICOS
KW  - ECONOMETRIA
KW  - ANALISIS DE SERIES TEMPORALES
KW  - CICLOS ECONOMICOS
KW  - ECONOMIA
N2  - This paper outlines a methodology to detrend multiple time series under common trend restrictions. The sames filters used to construct the estimated trend in unvariate exercises are shown to be appropriate in multivariate studies with a single common trend. However, to estimate the common trend in the multivariate case, the filter is applied to a linear combination of series rather than to each series individually. An empirical example and simulations exercises ilustrate the implications of common trend detrending for measurement of business cycle properties; This paper outlines a methodology to detrend multiple time series under common trend restrictions. The sames filters used to construct the estimated trend in unvariate exercises are shown to be appropriate in multivariate studies with a single common trend. However, to estimate the common trend in the multivariate case, the filter is applied to a linear combination of series rather than to each series individually. An empirical example and simulations exercises ilustrate the implications of common trend detrending for measurement of business cycle properties
ER  -