| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23186 |
| 来源ID | Working Paper 23186 |
| Long-Run Covariability | |
| Ulrich K. Müller; Mark W. Watson | |
| 发表日期 | 2017-02-20 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We develop inference methods about long-run comovement of two time series. The parameters of interest are defined in terms of population second-moments of lowfrequency trends computed from the data. These trends are similar to low-pass filtered data and are designed to extract variability corresponding to periods longer than the span of the sample divided by q/2, where q is a small number, such as 12. We numerically determine confidence sets that control coverage over a wide range of potential bivariate persistence patterns, which include arbitrary linear combinations of I(0), I(1), near unit roots and fractionally integrated processes. In an application to U.S. economic data, we quantify the long-run covariability of a variety of series, such as those giving rise to the “great ratios”, nominal exchange rates and relative nominal prices, unemployment rate and inflation, money growth and inflation, earnings and stock prices, etc. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Macroeconomic Models |
| URL | https://www.nber.org/papers/w23186 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580858 |
| 推荐引用方式 GB/T 7714 | Ulrich K. Müller,Mark W. Watson. Long-Run Covariability. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23186.pdf（1503KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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