On non-Contemporaneous Short-Run Comovements

G. Cubadda; A.W. Hecq

doi:10.1016/S0165-1765(01)00514-6

On non-Contemporaneous Short-Run Comovements

G. Cubadda
, A.W. Hecq^*

^*Corresponding author for this work

Quantitative Economics

Research output: Contribution to journal › Article › Academic › peer-review

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	https://doi.org/10.1016/S0165-1765(01)00514-6
Publication status	Published - 1 Jan 2001

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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. ",

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AB - 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.

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JO - Economics Letters

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On non-Contemporaneous Short-Run Comovements

Abstract

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