Multivariate Business Cycle Synchronization in Small Samples*
研究小样本下商业周期同步性的检验方法，发现传统检验在样本小、国家多时失真，而块自助法可修正偏差，并应用于发达国家数据检验同步性假设。
Abstract In this paper, we study the degree of business cycle synchronization by means of a small sample version of the Harding and Pagan's [ Journal of Econometrics (2006) Vol. 132, pp. 59–79] Generalized Method of Moment test. We show that the asymptotic version of the test gets increasingly distorted in small samples when the number of countries grows large. However, a block bootstrapped version of the test can remedy the size distortion when the time series length divided by the number of countries T / n is sufficiently large. Applying the technique to a number of business cycle proxies of developed economies, we are unable to reject the null hypothesis of a non‐zero common multivariate synchronization index for certain economically meaningful subsets of these countries.