Describing Location Shifts with One Class Support Vector Machines

Iulia Igescu

MPRA Paper from University Library of Munich, Germany

Abstract: The evolution of variables during location shifts (structural breaks) is of high interest to policy makers. I propose a novel approach to describe location shifts. I use two business surveys in the industry sector (faster soft indicators) to target the industrial production index (a slower hard indicator). Then I use One-Class Support Vector Machines on combinations of these two variables to identify if new observations act as ’novelties’ for the target variable, as observations coming from a different distribution. In that case, one would expect the onset/end of a location shift. Moreover, that gives insights into what role animal spirit, as manifested in survey data, plays in equilibrium formation (location shifts).

Keywords: SVM; location shifts; novelites (search for similar items in EconPapers)
JEL-codes: C25 C5 C55 E65 (search for similar items in EconPapers)
Date: 2020-02-13
New Economics Papers: this item is included in nep-mac
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