Tracking the US business cycle with a singular spectrum analysis

de Carvalho M.; Rodrigues P.C.; Rua A.

Keywords: principal components, singular spectrum analysis, Band-pass filter, US business cycle

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.

Más información

Título de la Revista: Economics Letters
Volumen: 114
Editorial: Elsevier B.V.
Fecha de publicación: 2012
Página de inicio: 32
Página final: 35
DOI:

10.1016/j.econlet.2011.09.007