Concordance in business cycles
Christopher McDermott () and
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Alasdair Scott: Reserve Bank of New Zealand
No G99/7, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand
We study the properties of a test of that determines whether two time series co-move. The test computes a simple non-parametric 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.
JEL-codes: C14 E32 (search for similar items in EconPapers)
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Working Paper: Concordance in Business Cycles (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:nzb:nzbdps:1999/07
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