Tracking the US business cycle with a singular spectrum analysis

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 114
Issue: 1
Pages: 32-35

Authors (3)

de Carvalho, Miguel (not in RePEc) Rodrigues, Paulo C. (not in RePEc) Rua, António (Banco de Portugal)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:114:y:2012:i:1:p:32-35
Journal Field
General
Author Count
3
Added to Database
2026-01-25