Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach
Peter Martey Addo,
Monica Billio () and
Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
We provide a signal modality analysis to characterize and detect nonlinearity schemes in the US Industrial Production Index time series. The analysis is achieved by using the recently proposed "delay vector variance" (DVV) method, which examines local predictability of a signal in the phase space to detect the presence of determinism and nonlinearity in a time series. Optimal embedding parameters used in the DVV analysis are obtained via a differential entropy based method using wavelet-based surrogates. A complex Morlet wavelet is employed to detect and characterize the US business cycle. A comprehensive analysis of the feasibility of this approach is provided. Our results coincide with the business cycles peaks and troughs dates published by the National Bureau of Economic Research (NBER)
Keywords: Nonlinearity analysis; surrogates; Delay Vector Variance (DVV) method; wavelets; business cycle; embedding parameters (search for similar items in EconPapers)
JEL-codes: C14 C22 C40 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (4) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Working Paper: Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:12023
Access Statistics for this paper
More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Series data maintained by Lucie Label ().