Evidence for common features in G7 macroeconomic time series

Abstract

Systems of economic data potentially exhibit a number of common features, which aid both econometric modelling and economic interpretation. This paper surveys a variety of common features and applies the corresponding testing and estimation techniques to systems of macroeconomic time series in the G7 countries. Strong evidence is found of common trends and common or co-dependent cycles in the data, and, for two countries, empirical support for common non-linearities.

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