Robust Stylized Facts on Comovement for the Spanish Economy
AbstractIn this article we further develop the suggestion of obtaining stylized facts on comovement on the basis of prewhitened time series proposed in André, Pérez and Martín (2002). Firstly, we show some examples on the robustness of the method. Secondly, we test the relevance of such a proposal by revisiting some of the existing stylized facts on comovement for the Spanish economy in Dolado, Sebastián and Vallés (1993).
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Bibliographic InfoPaper provided by Centro de Estudios Andaluces in its series Economic Working Papers at Centro de Estudios Andaluces with number E2003/02.
Length: 26 pages
Date of creation: 2003
Date of revision:
Stylized Facts; Comovement; Cross Correlation Function; HP-Filter; Prewhitening;
Other versions of this item:
- Francisco Andre & Javier Perez, 2005. "Robust stylized facts on comovement for the Spanish economy," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(4), pages 453-462.
- 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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