Cyclical Properties of a Real Business Cycle Model.
This paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts, and correlations are tested against U.S. post-war data using both asymptotic and small-sample distributions. Compared with the model, the data have shorter business cycles, smaller co-movements of different macro variables, and less of a leading role for output. Copyright 1994 by John Wiley & Sons, Ltd.
Year of publication: |
1994
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Authors: | Soderlind, Paul |
Published in: |
Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 9.1994, S, p. 113-22
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Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
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