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

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Year of publication:	1999
Authors:	Cubadda, Gianluca
Publisher:	[S.l.] : SSRN
Subject:	Konjunkturzusammenhang \| Business cycle synchronization \| Konjunktur \| Business cycle \| Zeitreihenanalyse \| Time series analysis \| Autokorrelation \| Autocorrelation \| Schätztheorie \| Estimation theory \| Korrelation \| Correlation
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Empirical Economics, Vol. 24, Iss. 3, August 1999 Volltext nicht verfügbar
Classification:	C22 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014184329