Tracking the US business cycle with a singular spectrum analysis
Research output: Contribution to journal › Article › Scientific › peer-review
|Number of pages||4|
|Publication status||Published - Jan 2012|
|Publication type||A1 Journal article-refereed|
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.