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On The Use Of Innovation Correlations To Study Cyclical Co-Movements In Gdp And Its Components

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Author Info
TILAK ABEYSINGHE
KEEN MENG CHOY

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Abstract

Innovation cross correlations are sometimes used as indicators of cyclical co-movements among economic variables. This note shows that care is needed in making inferences about business cycle co-movements between GDP and its components from an innovation cross correlation analysis because of the effect of the national income accounting identity. The point is illustrated with an empirical example from Singapore. [C22, E32]

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Publisher Info
Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 16 (2002)
Issue (Month): 2 (June)
Pages: 37-45
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Handle: RePEc:taf:intecj:v:16:y:2002:i:2:p:37-45

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  1. Abeysinghe, Tilak, 1994. "Deterministic seasonal models and spurious regressions," Journal of Econometrics, Elsevier, vol. 61(2), pages 259-272, April. [Downloadable!] (restricted)
  2. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January. [Downloadable!] (restricted)
  3. William Schwert, G., 1979. "Tests of causality : The message in the innovations," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 10(1), pages 55-96, January. [Downloadable!] (restricted)
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This page was last updated on 2009-12-10.

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