|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/62265
|
| | |
| Title: | | Common cycles: A frequency domain approach  |
| 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
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/62265
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|