Tracking the US business cycle with a singular spectrum analysis

Miguel de Carvalho (), Paulo C. Rodrigues and António Rua

Economics Letters, 2012, vol. 114, issue 1, 32-35

Abstract: 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.

Keywords: Band-pass filter; Principal components; Singular spectrum analysis; US business cycle (search for similar items in EconPapers)
JEL-codes: C50 E32 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (19)

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Working Paper: Tracking the US Business Cycle With a Singular Spectrum Analysis (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:114:y:2012:i:1:p:32-35

DOI: 10.1016/j.econlet.2011.09.007

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