Tracking the US business cycle with a singular spectrum analysis

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.


Published in:
Economics Letters, 114, 32-35
Year:
2012
Publisher:
Elsevier
ISSN:
0165-1765
Keywords:
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 Record created 2012-03-08, last modified 2018-03-17

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