Synchronization of cycles

Journal of Econometrics

Volumn 132, Issue 1, 2006, Pages 59-79

  Harding, Don ^a   Pagan, Adrian ^b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Business cycles; Common cycles; Factor models; Synchronization; Turning points

Indexed keywords

ALGORITHMS; CORRELATION METHODS; INDUSTRIAL ECONOMICS; INVENTORY CONTROL; SYNCHRONIZATION;

BUSINESS CYCLES; COMMON CYCLES; FACTOR MODELS; TURNING POINTS;

ECONOMICS;

EID: 33646153047     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.01.023     Document Type: Article

References (32)

1. Andrews D. Testing when a parameter is on the boundary of the maintained hypothesis. Econometrica 69 (2001) 683-734
2. Artis M.J., and Zhang W. International business cycles and the ERM. International Journal of Finance and Economics 2 (1997) 1
3. Artis M.J., and Zhang W. Further evidence on international business cycle and the ERM. is there a European business cycle?. Oxford Economic Papers 51 (1999) 120-132
4. Artis M.J., Kontolemis Z.G., and Osborn D.R. Business cycles for G7 and European countries. Journal of Business 70 (1997) 249-279
5. Artis M.J., Krolzig H.M., and Toro J. The European business cycle. Oxford Economic Papers 56 (2004) 1-44
6. Backus D.K., Kehoe P.J., and Kydland F. International real business cycles. Journal of Political Economy 100 (1992) 745-775
7. Blinder A.S., and Fischer S. Inventories, rational expectations, and the business cycle. Journal of Monetary Economics 8 (1981) 277-304
8. Boehm E., and Liew W.T. A review of Australia's recent business cycle experiences and a forecast length of the current expansion. The Australian Economic Review 3rd Quarter (1994) 4-19
9. Boehm E., and Moore G.H. New economic indicators for Australia, 1949-84. The Australian Economic Review 4th Quarter (1984) 34-56
10. Bry, G., Boschan, C., 1971. Cyclical Analysis of Time Series: Selected Procedures and Computer Programs. New York, NBER.
11. Burns A.F., and Mitchell W.C. Measuring Business Cycles (1946), New York, NBER
12. Canova F. Detrending and turning points. European Economic Review 38 (1993) 614-623
13. Canova F., and Dellas H. Trade interdependence and the international business cycle. Journal of International Economics 34 (1992) 23-47
14. Chant D. On asymptotic tests of composite hypotheses in nonstandard situations. Biometrika 61 (1974) 291-298
15. Cooley T.F., and Hansen G.D. Money and the business cycle. In: Cooley T.F. (Ed). Frontiers of Business Cycle Research (1995), Princeton University Press, Princeton, NJ 175-216
16. Cooley T.F., and Prescott E.C. Economic growth and business cycles. In: Cooley T.F. (Ed). Frontiers of Business Cycle Research (1995), Princeton University Press, Princeton, NJ 1-38
17. Engle R.F., and Kozicki S. Testing for common features. Journal of Business and Economic Statistics 11 (1993) 369-395
18. Gourieroux C., Holly A., and Monfort A. Likelihood ratio test, Wald test, and Kuhn-Tucker test in linear models with inequality constraints on the regression parameters. Econometrica 50 (1982) 63-80
19. Granger C.W.J., and Pesaran M.H. Economic and statistical measures of forecast accuracy. Journal of Forecasting 19 (2000) 537-560
20. Harding, D., 2003. Essays on the business cycle. Ph.D. Thesis, Yale University.
21. Harding, D., Pagan, A.R., 2001. Some econometric problems with regressions using constructed state variables, Mimeo.
22. Harding D., and Pagan A.R. Dissecting the cycle. a methodological investigation. Journal of Monetary Economics 49 2 (2002) 365-381
23. Harding, D., Pagan, A.R., 2004. A suggested framework for classifying the modes of cycle research, mimeo.
24. Kiefer N., and Vogelsang T. Heteroskedasticity autocorrelation robust standard errors using the Bartlett kernel without truncation. Econometrica 70 (2002) 2093-2095
25. Moore G.H. Business Cycles, Inflation and Forecasting. second ed. (1983), Ballinger Publishing Co., Cambridge, MA
26. Newey W.K. A method of moments interpretation of sequential estimators. Economics Letters 14 (1984) 201-206
27. Newey W.K., and West K. Automatic lag selection in covariance matrix estimation. The Review of Economic Studies 61 4 (1994)
28. Pagan A.R. Bulls and Bears. A Tale of Two States (1998), Walras-Bowley Lecture, Montreal
29. Pagan A.R., and Sossounov K. A simple framework for analysing Bull and Bear Markets. Journal of Applied Econometrics 18 (2003) 23-46
30. Pesaran M.H., and Timmermann A. A simple nonparametric test of predictive performance. Journal of Business and Economic Statistics 10 4 (1992) 461-465
31. Phillips, P.C.B., Sun, Y., Jin, S., 2003. Consistent HAC Estimation and Robust Regression Testing when using Sharp Original Kernels with no Truncation, Cowles Foundation for Economic Research, Yale University.
32. Sowell F. Optimal tests for parameter instability in the generalized method of moments framework. Econometrica 64 (1996) 1085-1108