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Modelling Trends and Cycles in Economic Time SeriesMultivariate Modelling of Trends and Cycles

Modelling Trends and Cycles in Economic Time Series: Multivariate Modelling of Trends and Cycles [This chapter begins by introducing the concept of common features in time series, focusing on their specification and testing. The modelling of common cycles and codependence and of common deterministic trends is then discussed. The concept of common stochastic trends is then introduced, along with its manifestation as the property of cointegration. This leads on to the specification of the vector error correction model (VECM), with its consequent issues of estimation and tests for cointegrating rank. Stochastic common cycles are then introduced within the VECM framework. The chapter ends with a discussion of multivariate filtering and of co-breaking. Further reading and references are provided.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

Modelling Trends and Cycles in Economic Time SeriesMultivariate Modelling of Trends and Cycles

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Publisher
Springer International Publishing
Copyright
© The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2021. 1st edition: © Terence C. Mills 2003
ISBN
978-3-030-76358-9
Pages
147 –181
DOI
10.1007/978-3-030-76359-6_6
Publisher site
See Chapter on Publisher Site

Abstract

[This chapter begins by introducing the concept of common features in time series, focusing on their specification and testing. The modelling of common cycles and codependence and of common deterministic trends is then discussed. The concept of common stochastic trends is then introduced, along with its manifestation as the property of cointegration. This leads on to the specification of the vector error correction model (VECM), with its consequent issues of estimation and tests for cointegrating rank. Stochastic common cycles are then introduced within the VECM framework. The chapter ends with a discussion of multivariate filtering and of co-breaking. Further reading and references are provided.]

Published: Jul 30, 2021

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