The Spectral Envelope: An Application to the Decoupling Problem in Economics
Dilip M. Nachane,Amlendu Dubey +1 more
TLDR
In this article, the authors introduce the technique of spectral envelope into the analysis of the decoupling problem among economies and show that the business cycles in emerging market economies are de-synchronized from cyclical movements in the advanced economies.Abstract:
In this paper we introduce the technique of spectral envelope into the analysis of the decoupling problem among economies. Decoupling refers to the phenomenon that the business cycles in emerging market economies are de-synchronized from cyclical movements in the advanced economies. The analysis shows that all the countries considered in the sample have a common cycle of approximately 42 months. The results point to a strong possibility of a common global cycle of a periodicity between 3 and 4 years.read more
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The Special Issue in Honor of Anirudh Lal Nagar: An Introduction.
Yong Bao,Aman Ullah +1 more
References
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TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
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Statistical analysis of cointegration vectors
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Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models
TL;DR: In this article, the authors derived the likelihood analysis of vector autoregressive models allowing for cointegration and showed that the asymptotic distribution of the maximum likelihood estimator of the cointegrating relations can be found by reduced rank regression and derives the likelihood ratio test of structural hypotheses about these relations.