Asymmetric business cycle co-movements

被引：2

作者：

Hecq, Alain ^{[1
]}

机构：

[1] Maastricht Univ, Dept Quantitat Econ, NL-6200 Maastricht, Netherlands

来源：

APPLIED ECONOMICS LETTERS | 2009年 / 16卷 / 06期

关键词：

COMMON; COINTEGRATION; FEATURES; MODELS;

D O I：

10.1080/13504850701206486

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：579 / 584

页数：6

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