Synchronization of Cycles
-
Altmetric Citations
Description
Many interesting issues are posed by synchronization of cycles. In this paper, we define synchronization and show how the degree of synchronization can be measured. We propose heteroscedasticity and serial correlation robust tests of the hypotheses that cycles are either unsynchronized or perfectly synchronized. Tests of synchronization are performed using data on industrial production, on monthly stock indices and on series that are used to construct the reference cycle for the United States....[Show more]
dc.contributor.author | Harding, Don | |
---|---|---|
dc.contributor.author | Pagan, Adrian | |
dc.date.accessioned | 2015-12-07T22:30:42Z | |
dc.identifier.issn | 0304-4076 | |
dc.identifier.uri | http://hdl.handle.net/1885/22430 | |
dc.description.abstract | Many interesting issues are posed by synchronization of cycles. In this paper, we define synchronization and show how the degree of synchronization can be measured. We propose heteroscedasticity and serial correlation robust tests of the hypotheses that cycles are either unsynchronized or perfectly synchronized. Tests of synchronization are performed using data on industrial production, on monthly stock indices and on series that are used to construct the reference cycle for the United States. An algorithm is developed to extract a common cycle. It is used to extract the reference cycle for the United States and common cycles in stock prices and European industrial production. | |
dc.publisher | Elsevier | |
dc.source | Journal of Econometrics | |
dc.subject | Keywords: Algorithms; Correlation methods; Industrial economics; Inventory control; Synchronization; Business cycles; Common cycles; Factor models; Turning points; Economics Business cycles; Common cycles; Factor models; Synchronization; Turning points | |
dc.title | Synchronization of Cycles | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 132 | |
dc.date.issued | 2006 | |
local.identifier.absfor | 140302 - Econometric and Statistical Methods | |
local.identifier.absfor | 140212 - Macroeconomics (incl. Monetary and Fiscal Theory) | |
local.identifier.ariespublication | u8410019xPUB21 | |
local.type.status | Published Version | |
local.contributor.affiliation | Harding, Don, University of Melbourne | |
local.contributor.affiliation | Pagan, Adrian, College of Business and Economics, ANU | |
local.description.embargo | 2037-12-31 | |
local.bibliographicCitation.issue | 1 | |
local.bibliographicCitation.startpage | 59 | |
local.bibliographicCitation.lastpage | 79 | |
local.identifier.doi | 10.1016/j.jeconom.2005.01.023 | |
dc.date.updated | 2015-12-07T10:08:07Z | |
local.identifier.scopusID | 2-s2.0-33646153047 | |
Collections | ANU Research Publications |
Download
File | Description | Size | Format | Image |
---|---|---|---|---|
01_Harding_Synchronization_of_Cycle_2006.pdf | 255.68 kB | Adobe PDF | Request a copy |
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.
Updated: 17 November 2022/ Responsible Officer: University Librarian/ Page Contact: Library Systems & Web Coordinator