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

Essahbi Essaadi and Mohamed Boutahar
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Mohamed Boutahar: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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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)
Date: 2008-10-23
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00333582
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Citations: View citations in EconPapers (2)

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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)
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