Multi-Regime Common Cyclical Features

Bertrand Candelon () and Alain Hecq ()

No 54, Research Memoranda from Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization

Abstract: In this paper we consider the hypothesis that particular short-run co-movements indicationg that shocks have similar responses might only exist for a particular regime and not for the whole sample. A two-step procedure is set up to test and estimate the multi-regime common cyclical feature. This approach is illustrated by analyzing the stability of the McCallum''s (1994) monetary policy reaction function for Danish data.

Keywords: Economics (search for similar items in EconPapers)
Date: 2002

Downloads: (external link)
http://edocs.ub.unimaas.nl/loader/file.asp?id=678 (application/pdf)

Related works:
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:dgr:umamet:2002054

Access Statistics for this paper

More papers in Research Memoranda from Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization
Series data maintained by Willy Villevoye ().