Permanent-Transitory Decomposition in VAR Models with Cointegration and Common Cycles

By Alain Hecq, Franz C. Palm, J. Urbain. 2000

65 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/176294c68ed4dbe2e1feeda6c8afb162c4b8485f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Franz C. Palm
2. J. Urbain
3. Alain Hecq
4. Joakim Westerlund

In Finance

1. J. Urbain
2. Franz C. Palm
3. Alain Hecq

Citations in the corpus

• Common cyclical features analysis in VAR models with cointegration (2006, methodology): “Note that the test statistics (11), (12) and (15) only enable to formally compare nested models.”