This paper investigates the identification and dating of the European business cycle, using different methods. We concentrate on methods and statistical series that provides timely and accurate information about the contemporaneous state of the economy in order to provide the reader with a...

We derive Lagrange Multiplier and Likelihood Ratio specifi cation tests for the null hypotheses of multivariate normal and Student t innovations using the Generalised Hyperbolic distribution as our alternative hypothesis. We decompose the corresponding Lagrange Multiplier-type tests into...