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Estimating common sectoral cycles

Citations

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Cited by:

  1. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "The Measurement of Persistence and Hysteresis in Aggregate Unemployment," Method and Hist of Econ Thought 0311002, University Library of Munich, Germany.
  2. George A. Slotsve & James M. Nason, 2003. "Along the New Keynesian Phillips Curve with Nominal and Real Rigidities," Computing in Economics and Finance 2003 270, Society for Computational Economics.
  3. Giorgio Calcagnini & Germana Giombini & Giuseppe Travaglini, 2021. "The Productivity Gap Among Major European Countries, USA and Japan," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 7(1), pages 59-78, March.
  4. Gutierrez, Carlos Enrique Carrasco & Souza, Reinaldo Castro & Guillén, Osmani Teixeira de Carvalho, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
  5. Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
  6. Hecq, Alain & Issler, João Victor, 2012. "A Common-feature approach for testing present-value restrictions with financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 728, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  7. Dick van Dijk & Dennis Fok & Philip Hans Franses, 2005. "A multi-level panel STAR model for US manufacturing sectors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 811-827.
  8. Osmani Teixeira de Carvalho de Guillén & Carlos Hamilton Vasconcelos Araújo, 2005. "O Mecanismo De Transmissão Da Taxa De Câmbio Para Índices De Preços: Uma Análise Vecm Para O Brasil," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 034, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  9. Issler, Joao Victor & Vahid, Farshid, 2006. "The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity," Journal of Econometrics, Elsevier, vol. 132(1), pages 281-303, May.
  10. Delalibera, Bruno Ricardo & Issler, João Victor & Branco, Roberto da Cunha Castello, 2017. "Using common features to investigate common growth cycles for BRICS Countries," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 784, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  11. Berument Hakan & Akdi Yilmaz & Atakan Cemal, 2005. "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(3), pages 1-14, September.
  12. Neri, Marcelo Côrtes, 2014. "Brazil's middle classes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  13. Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2011. "Energy consumption at business cycle horizons: The case of the United States," Energy Economics, Elsevier, vol. 33(2), pages 161-167, March.
  14. Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
  15. Issler, João Victor & Lima, Luiz Renato, 2009. "A panel data approach to economic forecasting: The bias-corrected average forecast," Journal of Econometrics, Elsevier, vol. 152(2), pages 153-164, October.
  16. Issler, João Victor & Rodrigues, Claudia & Burjack, Rafael, 2014. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 310-335.
  17. Harvey, David I. & Mills, Terence C., 2002. "Common features in UK sectoral output," Economic Modelling, Elsevier, vol. 19(1), pages 91-104, January.
  18. repec:fgv:epgewp:736 is not listed on IDEAS
  19. James M. Nason & Donald G. Paterson & Ronald A. Shearer, 2003. "Bulk commodities and the Liverpool and London markets of the mid-19th century," FRB Atlanta Working Paper 2003-29, Federal Reserve Bank of Atlanta.
  20. Fabio Araujo & Joao Victor Issler, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005 202, Society for Computational Economics.
  21. Vahid, Farshid & Issler, Joao Victor, 2002. "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," Journal of Econometrics, Elsevier, vol. 109(2), pages 341-363, August.
  22. Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
  23. Calcagnini, Giorgio & Travaglini, Giuseppe, 2014. "A time series analysis of labor productivity. Italy versus the European countries and the U.S," Economic Modelling, Elsevier, vol. 36(C), pages 622-628.
  24. Amaresh Das, 2005. "Do stock prices and interest rates possess a common trend?," Recherches économiques de Louvain, De Boeck Université, vol. 71(4), pages 383-390.
  25. Harvey, David I. & Mills, Terence C., 2005. "Corrigendum to ''Common features in UK sectoral output'': [Economic Modelling 19 (2002) 91-104]," Economic Modelling, Elsevier, vol. 22(1), pages 207-211, January.
  26. Elizabeth Wakerly & Byron Scott & James Nason, 2006. "Common trends and common cycles in Canada: who knew so much has been going on?," Canadian Journal of Economics, Canadian Economics Association, vol. 39(1), pages 320-347, February.
  27. Peijie Wang, 2003. "Cycles and Common Cycles in Property and Related Sectors," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 22-42.
  28. Carlino, Gerald A. & DeFina, Robert H., 2004. "How strong is co-movement in employment over the business cycle? Evidence from state/sector data," Journal of Urban Economics, Elsevier, vol. 55(2), pages 298-315, March.
  29. Issler, Joao Victor & Vahid, Farshid, 2006. "The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity," Journal of Econometrics, Elsevier, vol. 132(1), pages 281-303, May.
  30. Mont'Alverne Duarte, Angelo & Gaglianone, Wagner Piazza & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor, 2021. "Commodity prices and global economic activity: A derived-demand approach," Energy Economics, Elsevier, vol. 96(C).
  31. George Kapetanios, 2003. "A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems," Working Papers 483, Queen Mary University of London, School of Economics and Finance.
  32. repec:cte:wsrepe:25392 is not listed on IDEAS
  33. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
  34. Athanasopoulos, George & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005. "Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 589, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  35. David Harvey & Terence Mills, 2005. "Evidence for common features in G7 macroeconomic time series," Applied Economics, Taylor & Francis Journals, vol. 37(2), pages 165-175.
  36. Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
  37. Yin-Wong Cheung & Frank Westermann, 2002. "Output dynamics of the G7 countries--stochastic trends and cyclical movements," Applied Economics, Taylor & Francis Journals, vol. 34(18), pages 2239-2247.
  38. Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
  39. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
  40. Maria Simona Andreano & Giovanni Savio, 1996. "Common trends and common cycles under alternative exchange rate regimes," Applied Economics Letters, Taylor & Francis Journals, vol. 3(7), pages 423-426.
  41. Marcos Lima & Marcelo Resende, 2004. "Profit margins and business cycles in the Brazilian industry: a panel data study," Applied Economics, Taylor & Francis Journals, vol. 36(9), pages 923-930.
  42. Thomas R. Harris & J. Scott Shonkwiler & George E. Ebai, 1999. "Dynamic Nonmetropolitan Export-Base Modeling," The Review of Regional Studies, Southern Regional Science Association, vol. 29(2), pages 115-138, Fall.
  43. James M. Nason & John H. Rogers, 2008. "Exchange rates and fundamentals: a generalization," FRB Atlanta Working Paper 2008-16, Federal Reserve Bank of Atlanta.
  44. Robert Dixon & David Shepherd, 2001. "Trends and Cycles in Australian State and Territory Unemployment Rates," The Economic Record, The Economic Society of Australia, vol. 77(238), pages 252-269, September.
  45. Yin-Wong Cheung & Frank Westermann, 2003. "Sectoral trends and cycles in Germany," Empirical Economics, Springer, vol. 28(1), pages 141-156, January.
  46. Gerald A. Carlino & Keith Sill, 1998. "The cyclical behavior of regional per capita incomes in the postwar period," Working Papers 98-11, Federal Reserve Bank of Philadelphia.
  47. Alexandre Bonnet R. Costa & Pedro Cavalcanti G. Ferreira & Wagner Piazza Gaglianone & Osmani Teixeira C. Guillén & João Victor Issler & Artur Brasil Fialho Rodrigues, 2023. "Predicting Recessions in (almost) Real Time in a Big-data Setting," Working Papers Series 587, Central Bank of Brazil, Research Department.
  48. Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2006. "Common cyclical features analysis in VAR models with cointegration," Journal of Econometrics, Elsevier, vol. 132(1), pages 117-141, May.
  49. Ana María Cerro & José Pineda, 2002. "Latin American growth cycles. Empirical evidence: 1960 - 2000," Estudios de Economia, University of Chile, Department of Economics, vol. 29(1 Year 20), pages 89-108, June.
  50. Amaresh DAS, 2005. "Do stock prices and interest rates possess a common trend?," Discussion Papers (REL - Recherches Economiques de Louvain) 2005042, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  51. Carlos Hamilton Vasconcelos Araújo & Osmani Teixeira de Carvalho de Guillén, 2002. "Componentes de Curto e Longo Prazo das Taxas de Juros no Brasil," Working Papers Series 55, Central Bank of Brazil, Research Department.
  52. Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003. "A multi-level panel smooth transition autoregression for US sectoral production," Econometric Institute Research Papers EI 2003-43, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  53. Cavalcanti, Marco Antonio Freitas de Hollanda & Flôres Junior, Renato Galvão, 1995. "Trade or investment? location decisions under regional integration," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 253, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  54. Marco Centoni & Gianluca Cubadda, 2011. "Modelling comovements of economic time series: a selective survey," Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
  55. Lindenberg, Nannette & Westermann, Frank, 2012. "Common trends and common cycles among interest rates of the G7-countries," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1125-1140.
  56. Francisco Barillas & Christoph Schleicher, 2003. "Common Trends and Common Cycles in Canadian Sectoral Output," Staff Working Papers 03-44, Bank of Canada.
  57. Caporale, Guglielmo Maria, 1997. "Common features and output fluctuations in the United Kingdom," Economic Modelling, Elsevier, vol. 14(1), pages 1-9, January.
  58. Robertico Croes & Jorge Ridderstaat, 2017. "The effects of business cycles on tourism demand flows in small island destinations," Tourism Economics, , vol. 23(7), pages 1451-1475, November.
  59. Gerald A. Carlino & Keith Sill, 1996. "Common trends and common cycles in regional per capita incomes," Working Papers 96-13, Federal Reserve Bank of Philadelphia.
  60. Li, Xiao-Lin & Chang, Tsangyao & Miller, Stephen M. & Balcilar, Mehmet & Gupta, Rangan, 2015. "The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 220-233.
  61. Gerald A. Carlino & Keith Sill, 1997. "Regional economies: separating trends from cycles," Business Review, Federal Reserve Bank of Philadelphia, issue May, pages 19-31.
  62. Dilip M. Nachane & Amlendu Dubey, 2021. "The Spectral Envelope: An Application to the Decoupling Problem in Economics," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 287-308, December.
  63. Jim Lee, 1999. "Inflation Targeting In Practice: Further Evidence," Contemporary Economic Policy, Western Economic Association International, vol. 17(3), pages 332-347, July.
  64. Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  65. Patrick Wilson & Simon Stevenson & Ralf Zurbruegg, 2007. "Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 407-424, April.
  66. Selover David D. & Jensen Roderick V. & Kroll John, 2003. "Industrial Sector Mode-Locking and Business Cycle Formation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(3), pages 1-39, October.
  67. Mills, Terence C. & Crafts, Nicholas F. R., 2004. "Sectoral output trends and cycles in Victorian Britain," Economic Modelling, Elsevier, vol. 21(2), pages 217-232, March.
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