Tracking the US business cycle with a singular spectrum analysis

Miguel de Carvalho, Paulo C. Rodrigues, António Rua

Research output: Contribution to journalArticlepeer-review

30 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 languageEnglish
Pages (from-to)32-35
Number of pages4
JournalEconomics Letters
Volume114
Issue number1
DOIs
Publication statusPublished - 1 Jan 2012

Keywords

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

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