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.
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Working Paper: Testing For Common Features (1990)
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:11:y:1993:i:4:p:369-80
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