Disentangling irregular cycles in economic time series

Dominik Schober and Oliver Woll

No 15-067, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: Cycles play an important role when analyzing market phenomena. In many markets, both overlaying (weekly, seasonal or business cycles) and time-varying cycles (e.g. asymmetric lengths of peak and off peak or variation of business cycle length) exist simultaneously. Identification of these market cycles is crucial and no standard detection procedure exists to disentangle them. We introduce and investigate an adaptation of an endogenous structural break test for detecting at the same time simultaneously overlaying as well as time-varying cycles. This is useful for growth or business cycle analysis as well as for analysis of complex strategic behavior and short-term dynamics.

Keywords: structural breaks; cluster analysis; filter; rolling regression; change points; model selection; cycles; economic dynamics (search for similar items in EconPapers)
JEL-codes: C22 C24 C29 L50 O47 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-bec, nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:15067

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