A Measure of Comovement for Economic Variables: Theory and Empirics
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Summary
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Citations
78 citations
Cites methods from "A Measure of Comovement for Economi..."
...The degree of comovement between cycles is measured using dynamic correlations (Croux, Forni, and Reichlin, 2001) and coherence and phase-angle statistics....
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75 citations
Cites methods from "A Measure of Comovement for Economi..."
...Second, we compute the dynamic correlations between the studied variables, following the work by Croux et al. (2001)....
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74 citations
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References
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"A Measure of Comovement for Economi..." refers background in this paper
...In this category belong the following three concepts: (i) the idea of co-integration (Engle & Granger, 1987): two processes are co-integrated if the spectral density at frequency zero has rank one; (ii) codependence (Gourieroux & Peaucelle, 1992), which refers to linear combinations of correlated…...
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