TY  - JOUR
AU  - Engle,Robert F.
AU  - Issler,Joao Victor
TI  - Estimating Sectoral Cycles Using Cointegration and Common Features
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4529
PY  - 1993
Y2  - November 1993
UR  - http://www.nber.org/papers/w4529
L1  - http://www.nber.org/papers/w4529.pdf
N1  - Author contact info:
Robert F. Engle, III
Department of Finance, Stern School of Business
New York University, Salomon Center
44 West 4th Street, Suite 9-160
New York, NY  10012-1126
Tel: 212/998-0710
Fax: 212/995-4220
E-Mail: rengle@stern.nyu.edu
AB  - 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.
ER  -