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- Thu May 31, 2007 3:49 pm
- Forum: Other Time Series Analysis
- Topic: bivariate common cycle test a la Engle-Kozicki(1993)
- Replies: 2
- Views: 8753
bivariate common cycle test a la Engle-Kozicki(1993)
Has anyone experimented with the bivariate common cycles tests as proposed in Engle-Kozicki (1993) and Engle-Vahid (1993) papers? I am having problem understanding the Engle-Kozicki procedure for the common feature test since it links estimation of the bivariate VAR(1) in conjunction with the 2SLS a...