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Common cyclical features analysis in VAR models with cointegration

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References

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2000Permanent‐transitory Decomposition in Var Models With Cointegration and Common Cycles79 cited

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2008Studying co-movements in large multivariate data prior to multivariate modelling35 cited
2007A unifying framework for analysing common cyclical features in cointegrated time series33 cited
2006Common shocks, common dynamics, and the international business cycle31 cited
2007Codependence in cointegrated autoregressive models22 cited
2008Exchange Rates and Fundamentals: A Generalization21 cited
2008Modelling trends and cycles in economic time series: historical perspective and future developments20 cited
2010A characterization of vector autoregressive processes with common cyclical features19 cited
2022Dimension Reduction for High‐Dimensional Vector Autoregressive Models*15 cited
2013Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data14 cited
2005Common trends and cycles in I(2) VAR systems14 cited
2008Evaluating growth cycle synchronisation in the EU13 cited