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
收藏
页码：579 / 584
页数：6
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