Asymmetric business cycle co-movements

Author: Hecq, Alain1

Source: Applied Economics Letters, Volume 16, Number 6, April 2009 , pp. 579-584(6)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

We investigate the presence of common cyclical features at different data points separated by a threshold variable. Our two-step procedure consists of first estimating the unknown threshold in a VAR or a VECM (Tsay, 1998). Next, cofeature test-statistics are carried out on the parts.

Document Type: Research article

DOI: 10.1080/13504850701206486

Affiliations: 1: Department of Quantitative Economics, Maastricht University, Maastricht, The Netherlands

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