Common Trends and Common Cycles
Common Trends and Common Cycles
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共同趋势和共同周期
DOI：
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发表时间：
1993
期刊：
影响因子：
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通讯作者：
R. Engle
中科院分区：
文献类型：
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作者：
Farshid Vahid;R. Engle
一组I（1）变量的第一个差异之间存在序列相关公共特征意味着这些变量的Beveridge-Nelson-Stock-Watson分解中存在公共循环。协整变量之间的共同周期的存在性的检验。检验被用来检查的有效性共同趋势共同周期结构所隐含的Flavin的过度敏感性假说和坎贝尔和曼昆的混合物的理性预期和经验法则的消费和收入的假设。利用协整和共特征向量之间的线性独立性，将消费和收入分解为趋势和周期分量。版权所有1993年由约翰威利父子有限公司。
The existence of a serial correlation common feature among the first differences of a set of I(1) variables implies the existence of a common cycle in the Beveridge-Nelson-Stock-Watson decomposition of those variables. A test for the existence of common cycles among cointegrated variables is developed. The test is used to examine the validity of the common trend-common cycle structure implied by Flavin's excess sensitivity hypothesis and Campbell and Mankiw's mixture of rational expectations and rule-of-thumb hypothesis for consumption and income. Linear independence between the cointegration and the cofeature vectors is exploited to decompose consumption and income into their trend and cycle components. Copyright 1993 by John Wiley & Sons, Ltd.