Common serial correlation and common business cycles: A cautious note
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- Bicu Andreea & Candelon Bertrand, 2012. "Government bond market dynamics and sovereign risk: systemic or idiosyncratic?," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
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"Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features,"
Working Papers Series
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More about this item
KeywordsBusiness cycles · serial correlation common feature · frequency-domain methods;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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