Interactions of real GNP business cycles in a three-country time-series model
Article Abstract:
Amethod for examining short-rundynamic interactions among macroeconomic models by constructing aggregate state-space submodels for dynamic modes corresponding with short-run response patterns is described. Dynamic interactions in the frequency ranges roughly comparable with a range of business cycle frequencies are examined using quarterly real GNP from US, Germany and Japan from Mar 1974 to Jan 1991. Findings show that there is no shock common to the three countries, although the real GNPs of Germany and Japan are affected by a common shock.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1993
User Contributions:
Comment about this article or add new information about this topic:
Testing in unobserved component models
Article Abstract:
An analysis of tests undertaken on non-stationary unobserved components is presented. Procedures used to examine the presence of seasonal and random walk components were extended to assess multivariate models.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
The use of canonical correlation analysis to identify the order of multivariate ARMA models: Simulation and application
Article Abstract:
The use of canonical correlation in determining the structure of a linear multivariate time series model is discussed.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2000
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Unemployment variation over the business cycles: a comparison of forecasting models
- Abstracts: On the revelation of private information in stock market economies. The graphs of the Walras correspondence: the production economies case
- Abstracts: Bootstrapping multivariate spectra. Modeling nonlinearity of business cycles: choosing between the CDR and STAR models
- Abstracts: The natural projection approach to the infinite-horizon model. Transaction costs and a redundant security: Divergence of individual and social relevance
- Abstracts: Covariance estimation for multivariate conditionally Gaussian dynamic linear models. Evaluating the forecast densities of linear and non-linear models: applications to output growth and unemployment