A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach

Essahbi Essaadi and Mohamed Boutahar ()
Additional contact information
Mohamed Boutahar: GREQAM, Université de la Méditerranée, Centre de la Vieille Charité, France

No 827, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: In this paper, we test the instability of comovement, in time and frequency domain, for the GDP growth rate of the US and the UK. We use the frequency approach, which is based on evolutionary spectral analysis (Priestley, 1965-1996). The graphical analysis of the Time-Varying Coherence Function (TVCF) reports the existence of variability in correlation between the two series. Our goal is to estimate first the TVCF of the two series, then to test stability in both the cross-spectra density and in TVCF by detecting various breakpoints in each function.

Keywords: Comovement; Spectral Analysis; Time-Varying Coherence Function; Structural Change. (search for similar items in EconPapers)
JEL-codes: C12 C14 C16 C22 E32 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
ftp://ftp.gate.cnrs.fr/RePEc/2008/0827.pdf (application/pdf)

Related works:
Journal Article: A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach (2010)
Working Paper: A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach (2010)
Working Paper: A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach (2008)
Working Paper: A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach (2008)
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: https://EconPapers.repec.org/RePEc:gat:wpaper:0827

Access Statistics for this paper

More papers in Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon Contact information at EDIRC.
Bibliographic data for series maintained by Nelly Wirth ( this e-mail address is bad, please contact ).