Robust Stylized Facts on Comovement for the Spanish Economy

Javier Pérez and Francisco 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: C22 E32 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2003
New Economics Papers: this item is included in nep-mac
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Journal Article: Robust stylized facts on comovement for the Spanish economy (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:cea:doctra:e2003_02

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