Robust stylized facts on comovement for the Spanish economy
AbstractThe suggestion of obtaining stylized facts on comovement on the basis of prewhitened time series proposed in Andre et al. (2002) is further developed. First, some examples are shown on the robustness of the method. Second, the relevance of such a proposal is tested by revisiting some of the existing stylized facts on comovement for the Spanish economy in Dolado et al. (1993).
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 37 (2005)
Issue (Month): 4 ()
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Other versions of this item:
- Javier J. Pérez & Francisco J. André, 2003. "Robust Stylized Facts on Comovement for the Spanish Economy," Economic Working Papers at Centro de Estudios Andaluces E2003/02, Centro de Estudios Andaluces.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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