Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/62265 
Erscheinungsjahr: 
2000
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 2000,99
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
common feature analysis
frequency domain
European Common Features
JEL: 
C32
F41
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
280.41 kB





Publikationen in EconStor sind urheberrechtlich geschützt.