Structural changes in the real GNP interdependence of the U.S., West Germany, and Japan during the period 1970-1986
The paper first locates quarters in the early 1970s at which the covariance matrices of the innovation vectors have shifted for the real GNPs of the USA, West Germany and Japan treated as univariate series. The paper then exhibits differences in the impulse response time profiles of the two models estimated from the data primarily before and after the break as a concise summary of the changes in dynamic interactions of the three real GNPs.
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- Gerlach, Stefan & Klock, John, 1988. "State-space estimates of international business cycles," Economics Letters, Elsevier, vol. 28(3), pages 231-234.
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- Andrews, Donald W K & Fair, Ray C, 1988. "Inference in Nonlinear Econometric Models with Structural Change," Review of Economic Studies, Wiley Blackwell, vol. 55(4), pages 615-39, October.
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