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

DOI10.1016/S0165-1889(98)00048-7zbMath0921.90036MaRDI QIDQ1292270

Sharon Kozicki

Publication date: 21 June 1999

Published in: Journal of Economic Dynamics \& 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)

Related Items (1)

Vector rational error correction

Cites Work

• Unnamed Item
• Low frequency filtering and real business cycles
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Testing for Common Trends
• Spurious Periodicity in Inappropriately Detrended Time Series
• Time to Build and Aggregate Fluctuations

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