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.

Research, Gross national product, Business cycles

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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.

Forecasting, Analysis, Random walks (Mathematics), Random walk theory

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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.

Financial Forecasting, Canonical correlation (Statistics)

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