Common cycles: A frequency domain approach

Arbeitspapier

In this paper we decompose the Serial Correlation Common Feature (SCCF) of Engle and Kozicki (1993) in the frequency domain. A collection of time series is said to share a common cycle if there exists a linear combination of the predicted series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental Variables (IV) approach or a Canonical Correlation Analysis (CCA). The asymptotic and finite sample properties are studied and an analysis of the comovement between Germany, Austria and the United Kingdom is presented.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 2000,99

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Open Economy Macroeconomics
• Subject: common feature analysis ; frequency domain ; European Common Features

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Breitung, Jörg ; Candelon, Bertrand
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (where): Berlin
• (when): 2000

Further information

• Handle: http://hdl.handle.net/10419/62265
• URN: urn:nbn:de:kobv:11-10048257
• Last update: 10.03.2025, 11:43 AM CET