Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Common Trends and Common Cycles

F. Vahid and R. F. Engle
Journal of Applied Econometrics
Vol. 8, No. 4 (Oct. - Dec., 1993), pp. 341-360
Published by: Wiley
Stable URL: http://www.jstor.org/stable/2285000
Page Count: 20
  • Download ($42.00)
  • Subscribe ($19.50)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Common Trends and Common Cycles
Preview not available

Abstract

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.

Page Thumbnails

  • Thumbnail: Page 
[341]
    [341]
  • Thumbnail: Page 
342
    342
  • Thumbnail: Page 
343
    343
  • Thumbnail: Page 
344
    344
  • Thumbnail: Page 
345
    345
  • Thumbnail: Page 
346
    346
  • Thumbnail: Page 
347
    347
  • Thumbnail: Page 
348
    348
  • Thumbnail: Page 
349
    349
  • Thumbnail: Page 
350
    350
  • Thumbnail: Page 
351
    351
  • Thumbnail: Page 
352
    352
  • Thumbnail: Page 
353
    353
  • Thumbnail: Page 
[354]
    [354]
  • Thumbnail: Page 
355
    355
  • Thumbnail: Page 
356
    356
  • Thumbnail: Page 
357
    357
  • Thumbnail: Page 
358
    358
  • Thumbnail: Page 
359
    359
  • Thumbnail: Page 
360
    360