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Title:Common cycles: A frequency domain approach PDF Logo
Authors:Breitung, Jörg
Candelon, Bertrand
Issue Date:2000
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,99
Abstract:In this paper we decompose the Serial Correlation Common Feature (SCCF) of Engle and Kozicki (1993) in the frequency domain. A collection of time series is said to share a common cycle if there exists a linear combination of the predicted series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental Variables (IV) approach or a Canonical Correlation Analysis (CCA). The asymptotic and finite sample properties are studied and an analysis of the comovement between Germany, Austria and the United Kingdom is presented.
Subjects:common feature analysis
frequency domain
European Common Features
JEL:C32
F41
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10048257
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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