Asymmetric business cycle co-movements
AbstractWe 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 InfoPaper provided by Maastricht University in its series Open Access publications from Maastricht University with number urn:nbn:nl:ui:27-22694.
Date of creation: 2009
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Publication status: Published in Applied Economics Letters (2009) v.16, p.579-584-
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- Pami Dua & Vineeta Sharma, 2013. "Measurement And Patterns Of International Synchronization-- A Spectral Approach," Working papers 224, Centre for Development Economics, Delhi School of Economics.
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