Detection of lead-lag relationships using both time domain and time-frequency domain : an application to wealth-to-income ratio
Angeliki Skoura
The objective of this paper is the joint application of two different methodological concepts for the detection of lead-lag relationships in economic time-series in order to investigate their consistency and their potential complementarity. The first methodology, a time domain analysis based on vector error correction model, provides evidence about the existence of long-run equilibrium of the time-series and the short-run lead-lag behaviors. The second methodology, a time-frequency concept based on the phase difference of the cross-wavelet coherence, analyzes the lead-lag relationships across various timescales and reveals the altering of leadership over time. The two methods are applied to time-series of wealth-to-income ratio of four developed countries over the period 1970-2010 and analyze the lead-lag relationships of the countries in the long-run and in the short-run. The results show that the two methods are consistent in their major long-run findings, however, they reveal different aspects regarding the short-run dynamics of the lead-lag relationships. Furthermore, the results suggest the complementarity of the two methodologies in the context of a complete framework for the analysis of the lead-lag relationships in non-stationary economic time-series.
Year of publication: |
2019
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Authors: | Skoura, Angeliki |
Published in: |
Economies : open access journal. - Basel : MDPI, ISSN 2227-7099, ZDB-ID 2704214-5. - Vol. 7.2019, 2/28, p. 1-27
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Subject: | lead-lag relationships | vector error correction model | wavelet coherence | wealth-to-income ratio | Lag-Modell | Lag model | Zeitreihenanalyse | Time series analysis | USA | United States | Theorie | Theory | Kointegration | Cointegration |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/economies7020028 [DOI] hdl:10419/256960 [Handle] |
Classification: | N30 - Labor and Consumers, Demography, Education, Income and Wealth. General, International, or Comparative ; O57 - Comparative Studies of Countries |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012021697
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