Common serial correlation and common business cycles: A cautious note

This paper examines the frequency-domain implications of the serial correlation common feature in order to evaluate its merits as an indicator of common business cycles among economic variables. It is shown that the presence of the serial correlation common feature in the first differences of a set of I(1) time series is not informative for the degree and the lead-lag structure of their comovements at the business cycle frequencies.

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Year of publication:	1999-08-16
Authors:	Cubadda, Gianluca
Published in:	Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 24.1999, 3, p. 529-535
Publisher:	Department of Economics and Finance Research and Teaching
Subject:	Business cycles \| serial correlation common feature \| frequency-domain methods

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: October 1997/Final version received: December 1998
Classification:	C22 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005382237