Using Monte Carlo experiments, we show how information criteria determine, in the presence of GARCH errors, an optimal lag length in univariate time series and causality tests. We illustrate the simulations by testing the presence of serial correlation in exchange rates as well as...

A recursive codependence analysis is proposed for investigating the stability of the activity-unemployment relationship. Besides some noticeable statistical advantages, this new method provides a more accurate evaluation of conjunctural employment policies. It appears that for most countries,...

Quite often, the goal of the game when developing new coincident indexes of the economic activity is the comparison with NBER turning points. Using Monte Carlo simulations, this note illustrates that for the USA, any random linear combination of the four coincident variables would do the job as...

We investigate the presence of common cyclical features at different data points separated by a threshold variable. Our two-step procedure consists of first estimating the unknown threshold in a VAR or a VECM (Tsay, 1998). Next, cofeature test-statistics are carried out on the parts.