Multivariate detrending under common trend restrictions implications for business cycle research Sharon Kozicki
Idioma: Inglés Series Research Working Paper / Federal Reserve Bank of Kansas City ; RWP 96-01Detalles de publicación: Kansas City Federal Reserve Bank of Kansas City 1996Descripción: 31 pTema(s): Clasificación CDD:- 330.015 195 K88
Tipo de ítem | Biblioteca actual | Signatura | Estado | Fecha de vencimiento | Código de barras | |
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Libros | BIBLIOTECA ECONÓMICA BCE - QUITO | 330.015 195 / K88 (Navegar estantería(Abre debajo)) | Disponible | 036477 |
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.
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