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Faculty of Economics

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Carvalho, V. M., Harvey, A.C. and Trimbur, T.

A note on common cycles, common trends and convergence.

Journal of Business and Economic Statistics

Vol. 25(1) pp. 12-20 (2007)

Abstract: This article compares and contrasts structural time series models and the common features methodology. The way in which trends are handled is highlighted by describing a recent structural time series model that allows convergence to a common growth path. Postsample data are used to test its forecasting performance for income per head in U.S. regions. A test for common cycles is proposed, its asymptotic distribution is given, and small-sample properties are studied by Monte Carlo experiments. Applications are presented, with special attention given to the implications of using higher-order cycles.

Author links: Vasco Carvalho  

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Papers and Publications

Recent Publications

Fruehwirth, J., Iyer, S. and Zhang, A. Religion and Depression in Adolescence Journal of Political Economy [2019]

Carvalho, V. M. and Grassi, B. Large Firm Dynamics and the Business Cycle American Economic Review [2019]

Linton, O. and Xiao, Z. Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity Journal of Econometrics [2019]

Aidt, T. S. and Franck, R. What motivates and oligarchic elite to democratize? Evidence from the roll call vote on the Great Reform Act of 1832 Journal of Economic History [2019]