We study the properties of a test that determines whether two time series comove. The test computes a simple nonparametric statistic for “concordance,” which describes the proportion of time that the cycles of two series spend in the same phase. We establish the size and power properties of...

We study the properties of a test of that determines whether two time series co-move. The test computes a simple non-parametric statistic for 'concordance,' which describes the proportion of time that the cycles of two series spend in the same phase. We establish the size and power properties of...

We study the properties of a test that determines whether two time series comove. The test computes a simple nonparametric statistic for concordance, which describes the proportion of time that the cycles of two series spend in the same phase. We establish the size and power properties of this...