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It is shown that time-series of US productivity and hours are apparently affected by a structural break in the late 60s. Moreover, the importance of technology shocks over the business cycle has sharply decreased after the break.
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Combining economic time series with the aim to obtain an indicator for business cycle analyses is an important issue for policy makers. In this area, econometric techniques usually rely on systems with either a small number of series, N, or, at the other extreme, a very large N. In this paper we...
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This paper extends the notions of common cycles and common seasonal features to time series having deterministic and stochastic seasonality at different frequencies. The conditions under which quarterly time series with these characteristics have common features are investigated, various...
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VAR models with common cyclical features imply parsimonious univariate final equations, justifying the use of both time series aggregation, and homogenous panels with common factors and dynamic heterogeneity. However, conducting statistical inferences based on too restrictive models might be...
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