Synchronization of cycles

Harding, D; Pagan, AR

Synchronization of cycles

Harding, D Pagan, AR

Permalink

Publisher:: Elsevier Science Publishers B.V.
Publication Type:: Journal Article
Citation:: Journal of Econometrics, 2006, 132 (1), pp. 59 - 79
Issue Date:: 2006-01

Closed Access

	Filename	Description	Size
	2009007597OK.pdf		213.67 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Harding, D	en_US
dc.contributor.author	Pagan, AR	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Journal of Econometrics, 2006, 132 (1), pp. 59 - 79	en_US
dc.identifier.issn	0304-4076	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15708
dc.description.abstract	Many interesting issues are posed by synchronization of cycles. In this paper, we define synchronization and show how the degree of synchronization can be measured. We propose heteroscedasticity and serial correlation robust tests of the hypotheses that cycles are either unsynchronized or perfectly synchronized. Tests of synchronization are performed using data on industrial production, on monthly stock indices and on series that are used to construct the reference cycle for the United States. An algorithm is developed to extract a common cycle. It is used to extract the reference cycle for the United States and common cycles in stock prices and European industrial production	en_US
dc.publisher	Elsevier Science Publishers B.V.	en_US
dc.relation.ispartof	Journal of Econometrics	en_US
dc.relation.isbasedon	10.1016/j.jeconom.2005.01.023	en_US
dc.subject.classification	Econometrics	en_US
dc.title	Synchronization of cycles	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	132	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	0104 Statistics	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	1	en_US
pubs.volume	132	en_US

Abstract:

Many interesting issues are posed by synchronization of cycles. In this paper, we define synchronization and show how the degree of synchronization can be measured. We propose heteroscedasticity and serial correlation robust tests of the hypotheses that cycles are either unsynchronized or perfectly synchronized. Tests of synchronization are performed using data on industrial production, on monthly stock indices and on series that are used to construct the reference cycle for the United States. An algorithm is developed to extract a common cycle. It is used to extract the reference cycle for the United States and common cycles in stock prices and European industrial production

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/15708