Tracking the US business cycle with a singular spectrum analysis

Miguel de Carvalho; Paulo C. Rodrigues; António Rua

doi:10.1016/j.econlet.2011.09.007

Tracking the US business cycle with a singular spectrum analysis

Miguel de Carvalho, Paulo C. Rodrigues, António Rua

Universidade NOVA de Lisboa

Research output: Contribution to journal › Article › peer-review

40 Citations (Scopus)

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.

Original language	English
Pages (from-to)	32-35
Number of pages	4
Journal	Economics Letters
Volume	114
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2011.09.007
Publication status	Published - 1 Jan 2012

Keywords

Band-pass filter
Principal components
Singular spectrum analysis
US business cycle

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10.1016/j.econlet.2011.09.007

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title = "Tracking the US business cycle with a singular spectrum analysis",

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.",

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Tracking the US business cycle with a singular spectrum analysis

Abstract

Keywords

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