Template-type: ReDif-Paper 1.0
Author-Name: Candelon Bertrand
Author-Name: Hecq Alain
Author-workplace-name: METEOR
Title: Multi-Regime Common Cyclical Features
Abstract: In this paper we consider the hypothesis that particular short-run co-movements indicationg that shocks have similar responses might only exist for a particular regime and not for the whole sample. A two-step procedure is set up to test and estimate the multi-regime common cyclical feature. This approach is illustrated by analyzing the stability of the McCallum''s (1994) monetary policy reaction function for Danish data.
Keywords: Economics ; 
Series: Research Memoranda
Creation-Date: 2002
Number: 054
File-URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:2a814f51-e4f6-4f02-9d81-742749ac031d/datastreams/ASSET1/content
File-Format: application/pdf
File-Size: 257236
Handle: RePEc:unm:umamet:2002054