Multivariate Business Cycle Synchronization in Small Samples
In this paper, we study the degree of business cycle synchronization by means of a small sample version of the Harding and Pagan's ["Journal of Econometrics" (2006) Vol. 132, pp. 59-79] Generalized Method of Moment test. We show that the asymptotic version of the test gets increasingly distorted in small samples when the number of countries grows large. However, a block bootstrapped version of the test can remedy the size distortion when the time series length divided by the number of countries "T"/"n" is sufficiently large. Applying the technique to a number of business cycle proxies of developed economies, we are unable to reject the null hypothesis of a non-zero common multivariate synchronization index for certain economically meaningful subsets of these countries. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2009.
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Volume (Year): 71 (2009)
Issue (Month): 5 (October)
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