Synchronization of Cycles
Date
2006
Authors
Harding, Don
Pagan, Adrian
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Publisher
Elsevier
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.
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Keywords
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
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Source
Journal of Econometrics
Type
Journal article
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2037-12-31
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