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Asymmetric business cycle co-movements

Alain Hecq ()

Applied Economics Letters, 2009, vol. 16, issue 6, 579-584

Abstract: We investigate the presence of common cyclical features at different data points separated by a threshold variable. Our two-step procedure consists of first estimating the unknown threshold in a VAR or a VECM (Tsay, 1998). Next, cofeature test-statistics are carried out on the parts.

Date: 2009
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Handle: RePEc:taf:apeclt:v:16:y:2009:i:6:p:579-584