Concordance in Business Cycles
Christopher McDermott () and
No 2000/037, IMF Working Papers from International Monetary Fund
We study the properties of a test that determines whether two time series comove. The test computes a simple nonparametric statistic for “concordance,” which describes the proportion of time that the cycles of two series spend in the same phase. We establish the size and power properties of this test. As an illustration, the procedures are applied to output series from selected major industrial countries. We find limited evidence of widespread concordance for these countries.
Keywords: WP; concordance statistic; bar code; random walk; standard error; Concordance; phase; business cycles; correlation statistic; sample covariance statistic; Kiefer-salmon statistics; summary statistics; business cycle date; time series; brain-Shapiro statistic; Public expenditure review; Global (search for similar items in EconPapers)
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Working Paper: Concordance in business cycles (1999)
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