On non-Contemporaneous Short-Run Comovements

G. Cubadda, A.W. Hecq

Research output: Contribution to journalArticleAcademicpeer-review

23 Citations (Scopus)

Abstract

This paper proposes the notion of polynomial serial correlation common features as a measure of non-contemporaneous cyclical co-movements in multiple time series. Statistical inference within this modeling is easily performed by reduced rank regression. We show the implications of the PSCCF in terms of the Beveridge-Nelson decomposition and we illustrate their relevance for empirical analyses.
Original languageEnglish
Pages (from-to)389-397
JournalEconomics Letters
Volume73
DOIs
Publication statusPublished - 1 Jan 2001

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