This paper replicates Cheung and Lai (1995), who use response surface analysis to obtain approximate finite-sample critical values adjusted for lag order and sample size for the augmented Dickey-Fuller test. We obtain results that are quite close to their results. We provide the Ox source code....

Granger (1966) describes how the spectral shape of an economic variable concentrates spectral mass at low frequencies, declining smoothly as frequency increases. Despite a discussion about how to assess robustness of his results, the empirical exercise focused on the evidence obtained from a...

There has been considerable debate in recent years about whether well-defined business cycles even exist. At one extreme are those who assert that so-called business cycles are caused by exogenous shocks. At the other extreme are those who believe that business cycles may be endogenous, i.e.,...

This study provides evidence of the relationship between credit and real activity in Central America and the Dominican Republic. We address the empirics of the link between credit and real activity for the case of a group of developing countries with limited financial markets where bank credit...

A typical finding in many empirical studies is that the production price-profit rate relationship is, by and large, monotonic. This paper derives, in terms of the usual single-product model, the spectral conditions that make possible the appearance of such monotonicity. Furthermore, using data...

A spectral analysis of the Australian time series for the investment and savings ratio on monthly data over the period finds that the investment ratio is subject to a cycle of 6 months duration while the savings ratio series is concentrated on a longer swing of 4 to 6 years. The implications for...

In statistical data analysis it is often important to compare, classify, and cluster different time series. For these purposes various methods have been proposed in the literature, but they usually assume time series with the same sample size. In this paper, we propose a spectral domain method...

We apply cross-spectral methods, dynamic correlation index of comovements and a VAR model to study the cyclical components of GDP and tourism income of Switzerland with annual data for the period 1980 – 2007. We find evidence of 4 dominant cycles for GDP and an average duration between 9 and...

The comparison and classification of time series is an important issue in practical time series analysis. For these purposes, various methods have been proposed in the literature, but all have shortcomings, especially when the observed time series have different sample sizes. In this paper, we...

This paper argues that studying the effect of financial development and shocks on aggregate growth volatility will not be informative because they affect growth volatility through its different components. Volatility declines either a consequence of a change in the nature of shocks or a change...