@techreport{NBERw4529,
 title = "Estimating Sectoral Cycles Using Cointegration and Common Features",
 author = "Robert F. Engle and Joao Victor Issler",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "4529",
 year = "1993",
 month = "November",
 URL = "http://www.nber.org/papers/w4529",
 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.},
}