IDEAS home Printed from https://ideas.repec.org/p/ecb/ecbwps/200162.html
   My bibliography  Save this paper

Spectral based methods to identify common trends and common cycles

Author

Listed:
  • Camba-Méndez, Gonzalo
  • Kapetanios, George

Abstract

The rank of the spectral density matrix conveys relevant information in a variety of modelling scenarios. Phillips (1986) showed that a necessary condition for cointegration is that the spectral density matrix of the innovation sequence at frequency zero is of a reduced rank. In a recent paper Forni and Reichlin (1998) suggested the use of generalized dynamic factor model to explain the dynamics of a large set of macroeconomic series. Their method relied also on the computation of the rank of the spectral density matrix. This paper provides formal tests to estimate the rank of the spectral density matrix at any given frequency. The tests of rank at frequency zero are tests of the null of 'cointegration', complementary to those suggested by Phillips and Ouliaris (1988) which test the null of 'no cointegration'. JEL Classification: C12, C15, C32

Suggested Citation

  • Camba-Méndez, Gonzalo & Kapetanios, George, 2001. "Spectral based methods to identify common trends and common cycles," Working Paper Series 62, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:200162
    as

    Download full text from publisher

    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp062.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:zbw:bofrdp:2010_006 is not listed on IDEAS
    2. Crowley, Patrick M., 2010. "Long cycles in growth : explorations using new frequency domain techniques with US data," Research Discussion Papers 6/2010, Bank of Finland.
    3. Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, University Library of Munich, Germany.
    4. Crowley, Patrick M. & Maraun, Douglas & Mayes, David, 2006. "How hard is the euro area core? : an evaluation of growth cycles using wavelet analysis," Research Discussion Papers 18/2006, Bank of Finland.
    5. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, April.
    6. Crowley, Patrick M., 2010. "Long cycles in growth: explorations using new frequency domain techniques with US data," Bank of Finland Research Discussion Papers 6/2010, Bank of Finland.
    7. Crowley, Patrick M. & Maraun, Douglas & Mayes, David, 2006. "How hard is the euro area core? An evaluation of growth cycles using wavelet analysis," Bank of Finland Research Discussion Papers 18/2006, Bank of Finland.
    8. repec:zbw:bofrdp:2005_001 is not listed on IDEAS
    9. Pami Dua & Vineeta Sharma, 2013. "Measurement And Patterns Of International Synchronization-- A Spectral Approach," Working papers 224, Centre for Development Economics, Delhi School of Economics.
    10. Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, University Library of Munich, Germany.
    11. repec:zbw:bofrdp:2006_018 is not listed on IDEAS

    More about this item

    Keywords

    canonical correlations; spectral density matrix; test of rank;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecb:ecbwps:200162. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Official Publications (email available below). General contact details of provider: https://edirc.repec.org/data/emieude.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.