Computing Robust Stylized Facts on Comovement

Francisco J. André (), Ricardo Martín and Javier J. Pérez García ()
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Ricardo Martín: Sciecon

No E2001/03, Economic Working Papers at Centro de Estudios Andaluces from Centro de Estudios Andaluces

Abstract: We propose an alternative method of obtaining stylized facts on comovement, based on the cross-correlation function of the prewhitened time series, which only depends on the purely stochastic components of the series and the cross effects between them. This approach has the property of being robust to the filtering procedure and hence to the definition of the cycle. The usual approach consists of obtaining the cross-correlation function of filtered variables, which reflect a mixture of both the existing cross-correlation between the variables and the autocorrelation structure of each of them. The autocorrelation structure, in turn, crucially depends on the filtering procedure. The relevance of such an approach is tested by revisiting some of the facts reported by Kydland and Prescott (1990).

Keywords: Prewhitening; Business Cycle; Stylized Facts; Comovement. (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2001
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Related works:
Working Paper: COMPUTING ROBUST STYLIZED FACTS ON COMOVEMENT (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:cea:doctra:e2001_03

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