Estimating Sectoral Cycles Using Cointegration and Common Features / Robert F. Engle, Joao Victor Issler.

Format:

Book

Author/Creator:

Engle, Robert F.

Contributor:

National Bureau of Economic Research.

Issler, Joao Victor.

Series:

Working Paper Series (National Bureau of Economic Research) no. w4529.

NBER working paper series no. w4529

Language:

English

Subjects (All):

Business cycles--Econometric models.

Business cycles.

Business forecasting.

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1993.

Cambridge, Massachusetts : National Bureau of Economic Research, 1993.

Summary:

This paper investigates the degree of short run and long run comovement in U.S. sectoral output data by estimating sectoral trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a reduced form for sectoral output from first principles. Cointegration and common features (cycles) tests are performed and sectoral output data seem to share a relatively high number of common trends and a relatively low number of common cycles. A special trend-cycle decomposition of the data set is performed and the results indicate a very similar cyclical behavior across sectors and a very different behavior for trends. In a variance decomposition exercise, for prominent sectors such as Manufacturing and Wholesale/Retail Trade, the cyclical innovation is more important than the trend innovation.

Notes:

Print version record

November 1993.