… trends induce short-run "business cycle" behavior. The purpose of this paper is to develop the
concept of common stochastic trends … of these common trends. In Section 2, we provide an …

… We identify permanent shocks as innovations to two stochastic trends; one foreign and
one domestic trend. A critical identifying assumption is that in the long run terms of trade are …

… We identify a common stochastic trend and common transitory component by … stochastic
trend, having permanent effects, and “plucking” deviations from the common stochastic trend, …

I investigate cointegrating relationships such that, even though the long-run attractors are
assumed to be linear, the dynamics of the equilibrium errors depends on the business cycle. I …

… on the role of stochastic trends in the determination of US macroeconomic fluctuations. The
… of this framework for macroeconomic trends and fluctuations are considered. The contents of …

… of stochastic trends in real exchange rates and foreign output in explaining economic fluctuations
in the … While many of the results are consistent with recent closed-economy studies, the …

… Our explanation, by making explicit the interactions of economic fluctuations and growth,
sheds light on the interpretation of the decompositions of output into a permanent and a …

… This paper presents evidence concerning the number of common stochastic trends in the …
be stationary, implying the absence of any stochastic trends whatsoever iti the data, contrary to …

… tested contain a stochastic trend (unit root). … stochastic trends in a system of these stock
indices. The cointegration test results do not support the presence of common stochastic trends …

… In this study we address the issues of trend identification, with a major focus on deterministic
… stochastic trends. Considering the impact of the stochastic behavior of a time series in trend …