COMMON TRENDS AND COMMON CYCLES
提出一种检验协整变量间是否存在共同周期的方法，并用于验证消费和收入数据中由Flavin过度敏感假说及Campbell-Mankiw混合假说所隐含的共同趋势-共同周期结构。
SUMMARY The existence of a serial correlation common feature among the first differences of a set of 1(1) variables implies the existence of a common cycle in the Beveridge–Nelson–Stock–Watson decomposition of those variables. A test for the existence of common cycles among cointegrated variables is developed. The test is used to examine the validity of the common trend‐common cycle structure implied by Flavin's excess sensitivity hypothesis and Campbell and Mankiw's mixture of rational expectations and rule‐of‐thumb hypothesis for consumption and income. Linear independence between the cointegration and the cofeature vectors is exploited to decompose consumption and income into their trend and cycle components.