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Concordance in business cycles

Christopher McDermott () and Alasdair Scott
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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

Abstract: 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)
Pages: 27p
Date: 1999-12
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Working Paper: Concordance in Business Cycles (2000) Downloads
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Handle: RePEc:nzb:nzbdps:1999/07