Multivariate Business Cycle Synchronization in Small Samples
AbstractIn this paper, we study the degree of business cycle synchronization by means of a small sample version of the Harding and Pagan's ["Journal of Econometrics" (2006) Vol. 132, pp. 59-79] Generalized Method of Moment test. We show that the asymptotic version of the test gets increasingly distorted in small samples when the number of countries grows large. However, a block bootstrapped version of the test can remedy the size distortion when the time series length divided by the number of countries "T"/"n" is sufficiently large. Applying the technique to a number of business cycle proxies of developed economies, we are unable to reject the null hypothesis of a non-zero common multivariate synchronization index for certain economically meaningful subsets of these countries. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2009.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.
Volume (Year): 71 (2009)
Issue (Month): 5 (October)
Contact details of provider:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Luis J. Álvarez & Guido Bulligan & Alberto Cabrero & Laurent Ferrara & Harald Stahl, 2010.
"Housing Cycles In The Major Euro Area Countries,"
Banco de Espaï¿½a Occasional Papers
1001, Banco de Espa�a.
- Maria Gadea & Ana Gómez-Loscos & Antonio Montañés, 2012.
"Cycles inside cycles: Spanish regional aggregation,"
Spanish Economic Association, vol. 3(4), pages 423-456, December.
- Ana Gomez Loscos & M. Dolores Gadea & Antonio MontaÃ±es, 2011. "Cycles inside cycles: Spanish regional aggregation," ERSA conference papers ersa11p99, European Regional Science Association.
- Maria Dolores Gadea & Ana Gomez Loscos & Antonio Montañes, 2011. "Cycles Inside Cycles. Spanish Regional Aggregation," WIFO Working Papers 390, WIFO.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.