Common cycles test
Posted: Sun Jun 22, 2014 1:42 pm
Hi, I was wondering if the rats procedure cancorr.src that computes the canonical correlation can be adapted to test for common and codependent cycles with a cointegrated VAR as in Vahid and Engle (1993), Common trends and common cycles, J. of Applied econometrics, 8 (4), and by the same authors (1997), Codependent cycles, J. of Econometrics, 80 (2).
Thank you
Charly
Thank you
Charly