| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4529 |
| 来源ID | Working Paper 4529 |
| Estimating Sectoral Cycles Using Cointegration and Common Features | |
| Robert F. Engle; Joao Victor Issler | |
| 发表日期 | 1993-11-01 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | This paper investigates the degree of short run and long run comovement in U.S. sectoral output data by estimating sectoral trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a reduced form for sectoral output from first principles. Cointegration and common features (cycles) tests are performed and sectoral output data seem to share a relatively high number of common trends and a relatively low number of common cycles. A special trend-cycle decomposition of the data set is performed and the results indicate a very similar cyclical behavior across sectors and a very different behavior for trends. In a variance decomposition exercise, for prominent sectors such as Manufacturing and Wholesale/Retail Trade, the cyclical innovation is more important than the trend innovation. |
| URL | https://www.nber.org/papers/w4529 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561909 |
| 推荐引用方式 GB/T 7714 | Robert F. Engle,Joao Victor Issler. Estimating Sectoral Cycles Using Cointegration and Common Features. 1993. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4529.pdf（2964KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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