Testing for Common Features
Robert Engle and
Sharon Kozicki ()
Journal of Business & Economic Statistics, 1993, vol. 11, issue 4, 369-80
This article introduces a class of statistical tests for the hypothesis that some feature that is present in each of several variables is common to them. Features are data properties such as serial correlation, trends, seasonality, heteroscedasticity, autoregressive conditional heteroscedasticity, and excess kurtosis. A feature is detected by a hypothesis test taking no feature as the null, and a common feature is detected by a test that finds linear combinations of variables with no feature. Often, an exact asymptotic critical value can be obtained that is simply a test of overidentifying restrictions in an instrumental variable regression. This article tests for a common international business cycle.
References: Add references at CitEc
Citations: View citations in EconPapers (408) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Working Paper: Testing For Common Features (1990)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:11:y:1993:i:4:p:369-80
Ordering information: This journal article can be ordered from
Access Statistics for this article
Journal of Business & Economic Statistics is currently edited by Jonathan H. Wright and Keisuke Hirano
More articles in Journal of Business & Economic Statistics from American Statistical Association
Bibliographic data for series maintained by Christopher F. Baum ().