Series: IMF Working Papers
Author(s): Robin Lumsdaine , and Eswar Prasad
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 1999
Keywords: Economic Fluctuations, International and European Business Cycles, Autoregressive Conditional Heteroskedasticty, common, correlations, statistics, correlation, statistic
This paper develops an aggregation procedure using time-varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time-varying weights is based on so...