Common serial correlation and common business cycles: A cautious note
AbstractThis paper examines the frequency-domain implications of the serial correlation common feature in order to evaluate its merits as an indicator of common business cycles among economic variables. It is shown that the presence of the serial correlation common feature in the first differences of a set of I(1) time series is not informative for the degree and the lead-lag structure of their comovements at the business cycle frequencies.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 24 (1999)
Issue (Month): 3 ()
Note: received: October 1997/Final version received: December 1998
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- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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