Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62265
Authors: 
Breitung, Jörg
Candelon, Bertrand
Year of Publication: 
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: 
Document Type: 
Working Paper

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