On the Use of Innovation Correlations to Study Cyclical Co-Movements in GDP and Its Components
AbstractInnovation 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]
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.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal International Economic Journal.
Volume (Year): 16 (2002)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RIEJ20
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Abeysinghe, Tilak, 1994. "Deterministic seasonal models and spurious regressions," Journal of Econometrics, Elsevier, vol. 61(2), pages 259-272, April.
- Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.