Interpreting Business Cycles as Generalized Two-Dimensional Loops Using Penalized Splines Regression Techniques

Timo Teuber

Applied Economics Quarterly (formerly: Konjunkturpolitik), 2013, vol. 59, issue 1, 1-26

Abstract: The two-dimensional circular structure model by Kauermann, Teuber, and Flaschel (2011) will be extended to estimate more than two time series simultaneously. It will be assumed that the multivariate time series follow a cycle over the time. However, the radius and the angle are allowed to smoothly change over the time and will be estimated using a Penalized Spline Regression Technique. The model will be put to life using the Leading, Coincident and Lagging Indicators provided by the Conference Board. The model confirms known observations and sheds new light in the business cycle discussion concerning the long-term trend of economic time series, duration and dating of the business cycles, and the measurement and confirmation of leading and lagging characteristics of time series.

Keywords: penalized spline pegression; multivariate nonparametric regression; business cycle; business cycle dating; long-phase cycle (search for similar items in EconPapers)
JEL-codes: C14 C32 E32 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.3790/aeq.59.1.1 (application/pdf)
Access to full text is restricted to subscribers (2008 onwards); Pay-per-view access from http://ejournals.duncker-humblot.de/loi/aeq or from http://www.genios.de (2006 onwards with 2 years moving wall)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aeq:aeqaeq:v59_y2013_i1_q1_p1-26

Ordering information: This journal article can be ordered from
http://www.duncker-h ... nomicsquarterly.html

Access Statistics for this article

Applied Economics Quarterly (formerly: Konjunkturpolitik) is currently edited by Ansgar Belke, Uwe Sunde and Winfried Koeniger

More articles in Applied Economics Quarterly (formerly: Konjunkturpolitik) from Duncker & Humblot, Berlin
Bibliographic data for series maintained by Deborah Anne Bowen ( this e-mail address is bad, please contact ).