cyclical properties of a real business cycle model (replication data)
This paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts, and correlations are tested against US post-war data using both asymptotic and small-sample distributions. Compared with the model, the data have shorter business cycles, smaller co-movements of different macro variables, and less of a leading role for output.
Söderlind, P. (1994), Cyclical Properties Of A Real Business Cycle Model, Journal of Applied Econometrics, 9(S), S113-S122. https://doi.org/10.1002/jae.3950090507
