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MATLAB Comovement Programs

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Author Info

  • Steve Sumner

    (University of California, San Diego)

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    Abstract

    The set of programs on this website present two methods that can be used to obtain a concise set of descriptive results about the comovement of variables. The first method calculates the correlations of VAR forecast errors for two time-series at various forecast horizons. The second method calculates correlations of two filtered time-series at different frequencies using high-pass filters from the frequency domain (proposed by Baxter and King (1994)).

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    File URL: http://dge.repec.org/codes/sumner/
    File Function: program code
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    Bibliographic Info

    Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 70.

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    Programming language: Matlab
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    Date of creation: Sep 2000
    Date of revision:
    Handle: RePEc:dge:qmrbcd:70

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