Asymmetric Business Cycle Co-movements

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Abstract

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 tsay, r. S. 1998. Testing and modeling multivariate threshold models. Journal of the american statistical association, 93: 1188–202. [taylor & francis online], [web of science ®], , [google scholar]). Next, cofeature test-statistics are carried out on the parts.
Original languageEnglish
Pages (from-to)579-584
Number of pages6
JournalApplied Economics Letters
Volume16
Issue number6
DOIs
Publication statusPublished - 1 Jan 2009

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