Short‐Run Dynamics in Cointegrated Systems
构建了一个统一框架，研究协整系统中永久-暂时分解的时域性质，推导出Beveridge-Nelson分解的趋势和周期，并说明其与Gonzalo-Granger分解的关系，适用于美国人均GNP、私人消费和投资的三变量系统。
In this paper we build a unifying framework under which the time‐domain properties of the permanent‐transitory decompositions available in the literature are investigated. Starting from the state space representation of a cointegrated system expressions are derived for the (common) trends and cycles of the Beveridge–Nelson decomposition involving quantities already available from the interim multiplier representation. The cycles result from both movements along the attractor and adjustment dynamics; the latter are shown to be the transitory component of the Gonzalo–Granger decomposition. The two decompositions are equivalent when the number of common cycles and trends add up to the dimension of the system. Algorithms for the extraction of the components are given and the results are illustrated with respect to a trivariate system consisting of US per capita GNP, Private Consumption and Investment.