Common serial correlation and common business cycles: A cautious note
This paper examines the frequency-domain implications of the serial correlation common feature in order to evaluate its merits as an indicator of common business cycles among economic variables. It is shown that the presence of the serial correlation common feature in the first differences of a set of I(1) time series is not informative for the degree and the lead-lag structure of their comovements at the business cycle frequencies.
Volume (Year): 24 (1999)
Issue (Month): 3 ()
|Note:||received: October 1997/Final version received: December 1998|
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|Order Information:||Web: http://www.springer.com/economics/econometrics/journal/181/PS2|