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Common Trend VAR with I(1) and I(2) Series

https://doi.org/10.2139/ssrn.4672085
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Steady‐state priors for vector autoregressions
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Estimating and accounting for the output gap with large Bayesian vector autoregressions
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Permanent vs transitory components and economic fundamentals
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Production, growth and business cycles
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The multivariate Beveridge–Nelson decomposition with I(1) and I(2) series
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Estimating the euro area output gap using multivariate information and addressing the COVID-19 pandemic
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Supply shocks, demand shocks and yield curve dynamics
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Cross-country heterogeneity in intertemporal substitution
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Measuring the natural rate of interest: International trends and determinants
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Global trends in interest rates
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Balanced growth and the great ratios: New evidence for the US and UK
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Shifting endpoints in the term structure of interest rates
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Production, Growth and Business Cycles: Technical Appendix
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Testing for Common Trends
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By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
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Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence
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Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
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Understanding Consumption
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Market Power in Neoclassical Growth Models
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Expected Returns in Treasury Bonds
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The Band Pass Filter
inferredcites →https://doi.org/10.1111/j.0022-2879.2007.00008.xopenalex-extracted
The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles
inferredcites →https://doi.org/10.1111/j.0022-2879.2007.00038.xopenalex-extracted
The Slow Adjustment of Aggregate Consumption to Permanent Income
inferredcites →https://doi.org/10.1146/annurev-financial-012820-012703openalex-extracted
The Global Equilibrium Real Interest Rate: Concepts, Estimates, and Challenges
inferredcites →https://doi.org/10.1162/003465303772815934openalex-extracted
Measuring the Natural Rate of Interest
inferredcites →https://doi.org/10.1257/aer.20171822openalex-extracted
Interest Rates under Falling Stars
inferredcites →https://doi.org/10.1257/aer.97.3.586openalex-extracted
Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
inferredcites →https://doi.org/10.1257/jel.20211584openalex-extracted
Hysteresis and Business Cycles
inferredcites →https://doi.org/10.1353/eca.2017.0003openalex-extracted
Safety, Liquidity, and the Natural Rate of Interest
inferredcites →https://doi.org/10.1353/mcb.2003.0032openalex-extracted
A Two-Sector Approach to Modeling U.S. NIPA Data
inferredcites →https://doi.org/10.17016/feds.2015.077openalex-extracted
What Can the Data Tell Us About the Equilibrium Real Interest Rate?
inferredcites →https://doi.org/10.17016/feds.2019.076openalex-extracted
The Global Equilibrium Real Interest Rate: Concepts, Estimates, and Challenges
inferredcites →https://doi.org/10.2139/ssrn.1687574openalex-extracted
Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
inferredcites →https://doi.org/10.2139/ssrn.1751398openalex-extracted
Estimating Potential Output with a Multivariate Filter
inferredcites →https://doi.org/10.2139/ssrn.2324903openalex-extracted
Cross-Country Heterogeneity in Intertemporal Substitution
inferredcites →https://doi.org/10.2139/ssrn.3797143openalex-extracted
A Multivariate Unobserved Components Model to Estimate Potential Output in the Euro Area: A Production Function Based Approach
inferredcites →https://doi.org/10.2139/ssrn.3916345openalex-extracted
What Explains the Decline in r*? Rising Income Inequality Versus Demographic Shifts
inferredcites →https://doi.org/10.2202/1935-1690.1444openalex-extracted
Habit Formation and Aggregate Consumption Dynamics
inferredcites →https://doi.org/10.2307/1913236openalex-extracted
Co-Integration and Error Correction: Representation, Estimation, and Testing
inferredcites →https://doi.org/10.2307/2118434openalex-extracted
Permanent and Transitory Components of GNP and Stock Prices
inferredcites →https://doi.org/10.2307/2534582openalex-extracted
The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence
inferredcites →https://doi.org/10.2307/2953682openalex-extracted
Postwar U.S. Business Cycles: An Empirical Investigation
inferredcites →https://doi.org/10.2307/3584973openalex-extracted
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On the Sources of Business Cycles: Implications for DSGE Models
inferredcites →https://doi.org/10.3386/w10867openalex-extracted
Theoretical Foundations of Buffer Stock Saving
inferredcites →https://doi.org/10.3386/w30480openalex-extracted
Perceptions about Monetary Policy
inferredcites →https://doi.org/10.3386/w3090openalex-extracted
Consumption Growth Parallels Income Growth: Some New Evidence
inferredcites →https://doi.org/10.3386/w4995openalex-extracted
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
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On a Standard Method for Measuring the Natural Rate of Interest
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