Estimating Sectoral Cycles Using Cointegration and Common Features

Robert Engle and João Issler

No 4529, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

Date: 1993-11
Note: EFG
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Published as (Published as "Estimating Common Sectoral Cycles") Journal of Monetary Economics, Vol. 35 (1995): 83-113.

Downloads: (external link)
http://www.nber.org/papers/w4529.pdf (application/pdf)

Related works:
Working Paper: Estimating sectoral cycles using cointegration and common features (1994)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:4529

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w4529

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().