The aim of this paper is to show that random matrix theory (RMT) can be a useful addition to the economist?s tool … of the correlation matrix. However due to the finite size of both the number of variables and the number of observations …, a reliable determination of the correlation matrix may prove to be problematic. The structure of the correlation matrix …

Previous research indicates that the price-output correlation is time varying. This paper therefore estimates a VAR … with a bivariate GARCH error process to obtain a time series of quarterly estimates of the price-output correlation for the … United States for the period 1876:4-1999:4. The estimated correlation is usually positive before 1945 and zero during 1945 …