Robust Stylized Facts on Comovement for the Spanish Economy

Javier J. Pérez García () and Francisco J. André ()

No E2003/02, Economic Working Papers at Centro de Estudios Andaluces from Centro de Estudios Andaluces

Abstract: In this article we further develop the suggestion of obtaining stylized facts on comovement on the basis of prewhitened time series proposed in André, Pérez and Martín (2002). Firstly, we show some examples on the robustness of the method. Secondly, we test the relevance of such a proposal by revisiting some of the existing stylized facts on comovement for the Spanish economy in Dolado, Sebastián and Vallés (1993).

Keywords: Stylized Facts; Comovement; Cross Correlation Function; HP-Filter; Prewhitening (search for similar items in EconPapers)
JEL-codes: E32 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2003
View list of references

Downloads: (external link)
http://public.centrodeestudiosandaluces.es/pdfs/E200302.pdf (application/pdf)

Related works:
Journal Article: Robust stylized facts on comovement for the Spanish economy (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cea:doctra:e2003_02

Access Statistics for this paper

More papers in Economic Working Papers at Centro de Estudios Andaluces from Centro de Estudios Andaluces
Address: c/ Bailén 50. 41001 Sevilla
Contact information at EDIRC.
Series data maintained by Teresa Rodríguez ().