Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy

DOI10.1016/0304-4076(93)90101-AzbMath0800.90237OpenAlexW1511647749MaRDI QIDQ685913

K. C. Lee, R. G. Pierse, M. Hashem Pesaran

Publication date: 17 October 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90101-a

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (6)

Cointegration and speed of convergence to equilibrium ⋮ Impulse response analysis in nonlinear multivariate models ⋮ Linear aggregation in cointegrated systems ⋮ World, country, and sector factors in international business cycles ⋮ Long-run effects of price promotions in scanner markets ⋮ Encompassing univariate models in multivariate time series. A case study

Uses Software

• Microfit

Cites Work

• Unnamed Item
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• Spectral based testing of the martingale hypothesis
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• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Are Output Fluctuations Transitory?
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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