Abstract
In this paper, we study the degree of business cycle synchronization by means of a small sample version of the harding and pagan's [journal of econometrics (2006) vol. 132, pp. 59–79] generalized method of moment test. We show that the asymptotic version of the test gets increasingly distorted in small samples when the number of countries grows large. However, a block bootstrapped version of the test can remedy the size distortion when the time series length divided by the number of countries t/n is sufficiently large. Applying the technique to a number of business cycle proxies of developed economies, we are unable to reject the null hypothesis of a non-zero common multivariate synchronization index for certain economically meaningful subsets of these countries.
Original language | English |
---|---|
Pages (from-to) | 715-737 |
Number of pages | 23 |
Journal | Oxford Bulletin of Economics and Statistics |
Volume | 71 |
Issue number | 5 |
DOIs | |
Publication status | Published - 1 Jan 2009 |