Concordance in Business Cycles

March 1, 2000

Preview Citation

Format: Chicago

C. John McDermott, and Alasdair Scott. Concordance in Business Cycles, (USA: International Monetary Fund, 2000) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We study the properties of a test that determines whether two time series comove. The test computes a simple nonparametric statistic for “concordance,” which describes the proportion of time that the cycles of two series spend in the same phase. We establish the size and power properties of this test. As an illustration, the procedures are applied to output series from selected major industrial countries. We find limited evidence of widespread concordance for these countries.

Subject: Business cycles, Economic growth, Expenditure, Public expenditure review

Keywords: Bar code, Brain-Shapiro statistic, Business cycle date, Business cycles, Concordance, Concordance statistic, Correlation statistic, Global, Kiefer-salmon statistics, Phase, Public expenditure review, Random walk, Sample covariance statistic, Standard error, Summary statistics, Time series, WP

Publication Details

Pages:

31
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2000/037
Stock No:

WPIEA0372000
ISBN:

9781451845563
ISSN:

1018-5941

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