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Asymmetric business cycle co-movements

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  • Hecq, Alain

    (Maastricht University)

Abstract

We investigate the presence of common cyclical features at different data points separated by a threshold variable. Our two-step procedure consists of first estimating the unknown threshold in a VAR or a VECM (Tsay, 1998). Next, cofeature test-statistics are carried out on the parts.

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Bibliographic Info

Paper provided by Maastricht University in its series Open Access publications from Maastricht University with number urn:nbn:nl:ui:27-22694.

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Date of creation: 2009
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Publication status: Published in Applied Economics Letters (2009) v.16, p.579-584-
Handle: RePEc:ner:maastr:urn:nbn:nl:ui:27-22694

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Web page: http://www.maastrichtuniversity.nl/web/Home.htm

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Cited by:
  1. Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008. "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t ," Computational Economics, Society for Computational Economics, vol. 31(3), pages 225-241, April.

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