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Concordance in Business Cycles
Author:
Mr. C. John McDermottnull

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Mr. Alasdair Scott
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Series:
IMF Working Papers
Volume/Issue:
Volume 2000: Issue 037
Language:
English
Publication Date:
01 Mar 2000
DOI:
https://doi.org/10.5089/9781451845563.001
ISBN:
9781451845563
ISSN:
1018-5941
Pages:
31
Keywords:
WP; concordance statistic; bar code; random walk; standard error; Concordance; phase; business cycles; correlation statistic; sample covariance statistic; Kiefer-salmon statistics; summary statistics; business cycle date; time series; brain-Shapiro statistic; Public expenditure review; Global
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2000: Issue 037