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Multi-Regime Common Cyclical Features

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Author Info
Candelon,Bertrand
Hecq,Alain (METEOR)

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Abstract

In this paper we consider the hypothesis that particular short-run co-movements indicationg that shocks have similar responses might only exist for a particular regime and not for the whole sample. A two-step procedure is set up to test and estimate the multi-regime common cyclical feature. This approach is illustrated by analyzing the stability of the McCallum''s (1994) monetary policy reaction function for Danish data.

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Publisher Info
Paper provided by Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization in its series Research Memoranda with number 054.

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Date of creation: 2002
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Handle: RePEc:dgr:umamet:2002054

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Keywords: Economics ;

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