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The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

  1. Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
  2. Hendry, David F. & Martinez, Andrew B., 2017. "Evaluating multi-step system forecasts with relatively few forecast-error observations," International Journal of Forecasting, Elsevier, vol. 33(2), pages 359-372.
  3. João Victor Issler & Hilton Hostalacio Notini & Claudia Fontoura Rodrigues, 2013. "Constructing coincident and leading indices of economic activity for the Brazilian economy," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2012(2), pages 43-65.
  4. Paresh Kumar Narayan & Seema Narayan, 2008. "Do Permanent Shocks Explain Income Levels? A Common Cycle–Common Trend Analysis Of Regional Income Levels For China," Pacific Economic Review, Wiley Blackwell, vol. 13(5), pages 656-662, December.
  5. Gutierrez, Carlos Enrique Carrasco & Souza, Reinaldo Castro & Guillén, Osmani Teixeira de Carvalho, 2009. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
  6. Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
  7. Hecq, Alain & Issler, João Victor, 2012. "A Common-feature approach for testing present-value restrictions with financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 728, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  8. Neri, Marcelo Côrtes & Soares, Wagner Lopes, 2008. "Turismo sustentável e alivio a pobreza: avaliação de impacto," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 689, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  9. Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
  10. repec:fgv:epgrbe:v:67:n:1:a:4 is not listed on IDEAS
  11. Tu, Yundong & Yao, Qiwei & Zhang, Rongmao, 2020. "Error-correction factor models for high-dimensional cointegrated time series," LSE Research Online Documents on Economics 106994, London School of Economics and Political Science, LSE Library.
  12. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2006. "VARs, common factors and the empirical validation of equilibrium business cycle models," Journal of Econometrics, Elsevier, vol. 132(1), pages 257-279, May.
  13. Issler, Joao Victor & Notini, Hilton & Rodrigues, Claudia & Soares, Ana Flávia, 2013. "Constructing coincident indices of economic activity for the Latin American economy," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(1), April.
  14. OGAWA, Eiji & 小川, 英治 & WANG, Zhiqian, 2014. "How Did the Global Financial Crisis Misalign East Asian Currencies?," Working Paper Series G-1-8, Hitotsubashi University Center for Financial Research.
  15. Delalibera, Bruno Ricardo & Issler, João Victor & Branco, Roberto da Cunha Castello, 2017. "Using common features to investigate common growth cycles for BRICS Countries," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 784, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  16. Fitzgibbon, L.J., 2006. "On sampling stationary autoregressive model parameters uniformly in r2 value," Statistics & Probability Letters, Elsevier, vol. 76(4), pages 349-352, February.
  17. Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2011. "Energy consumption at business cycle horizons: The case of the United States," Energy Economics, Elsevier, vol. 33(2), pages 161-167, March.
  18. Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
  19. Anderson, Heather M. & Vahid, Farshid, 2007. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 76-90, January.
  20. Carsten Trenkler & Enzo Weber, 2013. "Codependent VAR models and the pseudo-structural form," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 287-295, July.
  21. Issler, João Victor & Lima, Luiz Renato, 2009. "A panel data approach to economic forecasting: The bias-corrected average forecast," Journal of Econometrics, Elsevier, vol. 152(2), pages 153-164, October.
  22. Issler, João Victor & Rodrigues, Claudia & Burjack, Rafael, 2014. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 310-335.
  23. repec:fgv:epgewp:736 is not listed on IDEAS
  24. Fabio Araujo & Joao Victor Issler, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005 202, Society for Computational Economics.
  25. Sun, Wenbin & Price, Joseph & Ding, Yuan, 2019. "The longitudinal effects of internationalization on firm performance: The moderating role of marketing capability," Journal of Business Research, Elsevier, vol. 95(C), pages 326-337.
  26. Narayan, Paresh Kumar, 2008. "An investigation of the behaviour of Australia's business cycle," Economic Modelling, Elsevier, vol. 25(4), pages 676-683, July.
  27. Christensen Timothy & Hurn Stan & Pagan Adrian, 2011. "Detecting Common Dynamics in Transitory Components," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-28, February.
  28. Carsten Trenkler & Enzo Weber, 2020. "Identifying shocks to business cycles with asynchronous propagation," Empirical Economics, Springer, vol. 58(4), pages 1815-1836, April.
  29. Wagner Piazza Gaglianone & João Victor Issler, 2014. "Microfounded Forecasting," Working Papers Series 372, Central Bank of Brazil, Research Department.
  30. Vahid, Farshid & Issler, Joao Victor, 2002. "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," Journal of Econometrics, Elsevier, vol. 109(2), pages 341-363, August.
  31. Kapetanios, G. & Pagan, A. & Scott, A., 2007. "Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling," Journal of Econometrics, Elsevier, vol. 136(2), pages 565-594, February.
  32. Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
  33. Gaolu Zou & Kwong Wing Chau, 2020. "Effects of International Crude Oil Prices on Energy Consumption in China," Energies, MDPI, vol. 13(15), pages 1-17, July.
  34. OGAWA Eiji & Zhiqian WANG, 2013. "How Did the Global Financial Crisis Misalign East Asian Currencies?," Discussion papers 13096, Research Institute of Economy, Trade and Industry (RIETI).
  35. Mont'Alverne Duarte, Angelo & Gaglianone, Wagner Piazza & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor, 2021. "Commodity prices and global economic activity: A derived-demand approach," Energy Economics, Elsevier, vol. 96(C).
  36. repec:cte:wsrepe:25392 is not listed on IDEAS
  37. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
  38. Athanasopoulos, George & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005. "Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 589, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  39. repec:kap:iaecre:v:14:y:2008:i:3:p:280-290 is not listed on IDEAS
  40. Narayan, Paresh Kumar, 2008. "Estimating exchange rate responsiveness to shocks," Review of Financial Economics, Elsevier, vol. 17(4), pages 338-351, December.
  41. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo.
  42. Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
  43. Narayan, Paresh Kumar, 2008. "Understanding the importance of permanent and transitory shocks at business cycle horizons for the UK," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2879-2888.
  44. Paresh Kumar Narayan, 2008. "Estimating exchange rate responsiveness to shocks," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 338-351, December.
  45. Yin-Wong Cheung & Frank Westermann, 2003. "Sectoral trends and cycles in Germany," Empirical Economics, Springer, vol. 28(1), pages 141-156, January.
  46. Carlos Enrique Carrasco Gutiérrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2007. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Working Papers Series 139, Central Bank of Brazil, Research Department.
  47. Marco Centoni & Gianluca Cubadda, 2011. "Modelling comovements of economic time series: a selective survey," Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
  48. Jorge Herrera Hernández, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 303-323, November.
  49. Athanasopouolos, George & Poskitt, Don & Vahid, Farshid & Yao, Wenying, 2014. "Forecasting with EC-VARMA models," Working Papers 2014-07, University of Tasmania, Tasmanian School of Business and Economics, revised 22 Feb 2014.
  50. Cubadda, Gianluca & Hecq, Alain, 2003. "The Role of Common Cyclical Features for Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp03002, University of Molise, Department of Economics.
  51. Paresh Narayan, 2008. "Common Trends and Common Cycles in Per Capita GDP: The Case of the G7 Countries, 1870–2001," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(3), pages 280-290, August.
  52. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series 451, CESifo.
  53. Justyna Wróblewska, 2015. "Common Trends and Common Cycles – Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(2), pages 91-110, June.
  54. Burak Alparslan Eroğlu & Deniz İkizlerli & Numan Ülkü, 2024. "A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns," Empirical Economics, Springer, vol. 67(1), pages 47-73, July.
  55. Li, Xiao-Lin & Chang, Tsangyao & Miller, Stephen M. & Balcilar, Mehmet & Gupta, Rangan, 2015. "The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 220-233.
  56. Thomas B. Götz & Alain Hecq & Jean-Pierre Urbain, 2013. "Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 361-393, Emerald Group Publishing Limited.
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