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Tracking the US business cycle with a singular spectrum analysis

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Details

Original languageEnglish
Pages (from-to)32-35
Number of pages4
JournalEconomics Letters
Volume114
Issue number1
DOIs
Publication statusPublished - Jan 2012
Publication typeA1 Journal article-refereed

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.

ASJC Scopus subject areas

Keywords

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