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 language | English |
---|---|
Pages (from-to) | 389-397 |
Journal | Economics Letters |
Volume | 73 |
DOIs | |
Publication status | Published - 1 Jan 2001 |