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2012
Tracking the US business cycle with a singular spectrum analysis
research article
In this paper we resort to singular spectrum analysis to disentangle the US GDP into several underlying components of interest. The business cycle indicator yielded through this method is shown to bear a resemblance with band-pass filtered output, and our results suggest it possesses better revision performance than other commonly applied filters. (C) 2011 Elsevier B.V. All rights reserved.
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Name
Economics Letters 2011 de Carvalho-1.pdf
Type
Publisher's Version
Access type
openaccess
Size
720.76 KB
Format
Adobe PDF
Checksum (MD5)
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