Common cycles: A frequency domain approach

Jörg Breitung () and Bertrand Candelon

No 2000,99, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: In this paper we decompose the Serial Correlation Common Feature (SCCF) of Engle and Kozicki (1993) in the frequency domain. A collection of time series is said to share a common cycle if there exists a linear combination of the predicted series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental Variables (IV) approach or a Canonical Correlation Analysis (CCA). The asymptotic and finite sample properties are studied and an analysis of the comovement between Germany, Austria and the United Kingdom is presented.

Keywords: common feature analysis; frequency domain; European Common Features (search for similar items in EconPapers)
JEL-codes: C32 F41 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200099

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