期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2017
期号：3
页码：201-241
语种：English
出版社：Polska Akademia Nauk
摘要：The aim of the article is to construct an asymptotically consistent test,based on a subsampling approach, to verify hypothesis about existence ofthe individual or common deterministic cycle in coordinates of multivariatemacroeconomic time series. By the deterministic cycle we mean the periodicor almost periodic fluctuations in the mean function in cyclical fluctuations. Toconstruct test we formulate a multivariate non-parametric model containing thebusiness cycle component in the unconditional mean function. The constructionrelies on the Fourier representation of the unconditional expectation of themultivariate Almost Periodically Correlated time series and is related to fixeddeterministic cycle presented in the literature. The analysis of the existenceof common deterministic business cycles for selected European countries ispresented based on monthly industrial production indexes. Our main findingsfrom the empirical part is that the deterministic cycle can be strongly supportedby the data and therefore should not be automatically neglected during analysiswithout justification.
关键词：testing deterministic cycles;subsampling;spectral analysis;almost periodic mean function;Almost Periodically Correlated time series
