Inference in codependence: some Monte Carlo results and applications
AbstractIn this paper, we investigate through Monte Carlo simulations the behavior of the codependence testing procedure (GouriÃ©roux et Peaucelle ) in small samples and in various usual statistical situations. Our results suggest that, except for the pure MA(q) case, important power losses may occur. The simulation results are illustrated by an analysis of Okun's law conducted for the main OECD countries.
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/10457.
Date of creation: 1999
Date of revision:
Publication status: Published in: France. Institut National de la Statistique et des Etudes Economiques. Annales d'Economie et de Statistique (1999) v.54
Other versions of this item:
- Michel BEINE & Alain HECQ, 1999. "Inference in Codependence : Some Monte Carlo Results and Applications," Annales d'Economie et de Statistique, ENSAE, issue 54, pages 69-90.
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- Candelon, Bertrand & Hecq, Alain & Verschoor, Willem F.C., 2005. "Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1317-1334, December.
- Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
- Michel Beine & Bertrand Candelon & Alain Hecq, 2000. "Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach," Empirica, Springer, vol. 27(2), pages 115-132, June.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo Group Munich.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series 451, CESifo Group Munich.
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