Publication

Tracking the US business cycle with a singular spectrum analysis

Miguel Bras de Carvalho
2012
Journal Articles

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. (C) 2011 Elsevier B.V. All rights reserved.

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Tracking the US business cycle with a singular spectrum analysis

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