Almost periodically correlated time series in business fluctuations analysis

Łukasz Lenart and Mateusz Pipień

No 107, NBP Working Papers from Narodowy Bank Polski

Abstract: We propose a non-standard subsampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising fluctuations of economic growth. We show that some characteristics of business cycle can be modelled in a non-parametric way by discrete spectrum of the Almost Periodically Correlated (APC) time series. On the basis of estimated characteristics of this spectrum business cycle is extracted by filtering. As an illustration we characterise the man properties of business cycles in industrial production index for Polish economy.

Keywords: business cycle; industrial production index; almost periodically correlated time series; subsampling procedure (search for similar items in EconPapers)
JEL-codes: C01 C02 C14 (search for similar items in EconPapers)
Pages: 39
Date: 2012
New Economics Papers: this item is included in nep-bec, nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:107

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