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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …
Persistent link: https://www.econbiz.de/10011350381
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Measuring asymmetric stochastic cycle components in US macroeconomic time series
Koopman, Siem Jan; Lee, Kai Ming - 2005
To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...
Persistent link: https://www.econbiz.de/10011346480
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Smooth threshold autoregressive models and Markov process : an application to the Lebanese GDP growth rate
Verne, Jean-François - In: International econometric review 13 (2021) 3, pp. 71-88
This paper analyzes the evolution of the Lebanese GDP growth rate over the period 1970- 2019 by estimating two kinds of switching models: The Smooth Transition Autoregressive (STAR) model and the model of the Markov process. These models show, on the one hand, asymmetries in the evolution of GDP...
Persistent link: https://www.econbiz.de/10012816175
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Macroeconomic forecasting in times of crises
Guerrón-Quintana, Pablo A.; Zhong, Molin - 2017
We propose a parsimonious semiparametric method for macroeconomic forecasting during episodes of sudden changes. Based on the notion of clustering and similarity, we partition the time series into blocks, search for the closest blocks to the most recent block of observations, and with the...
Persistent link: https://www.econbiz.de/10011708260
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Estimation of misreporting probability in corporate credit rating : a nonparametric approach
Lu, Ruichang; Luo, Yao; Xiao, Ruli - In: International studies of economics 18 (2023) 3, pp. 260-276
There has been heated debate regarding credit-rating agencies' (CRAs') reporting accuracy of corporate credit ratings, which is essential for investors because they rely on those crediting ratings to make investment decisions. We estimate the reporting accuracy using the data on corporate...
Persistent link: https://www.econbiz.de/10014465651
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Time series properties of the German monthly production index
Flaig, Gebhard - 2003
The production index is an important indicator for assessing the cyclical state of the economy. Unfortunately, the monthly time series is contaminated by many noisy components like seasonal variations, calendar and vacation effects. Only part of those nuisance components are explicitly...
Persistent link: https://www.econbiz.de/10011514105
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A Hodrick-Prescott filter with automatically selected jumps
Maranzano, Paolo; Pelagatti, Matteo - 2024
The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...
Persistent link: https://www.econbiz.de/10014578421
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Short Term Analysis of Raw Data and Business Cycle Estimation - Part 1 : Estimation and Tests (Analyse Conjoncturelle de Données Brutes et Estimation de Cycles Partie 1: Estimation...
Lacroix, Renaud - 2010
Short-term analysis is generally performed with seasonally adjusted data from which further estimation of the business …, because seasonal adjustment and trend-cycle estimation do not share the same methodological framework, a fact which could … Nelson decompositions. We show that estimation of the various components of a given time series is feasible once the location …
Persistent link: https://www.econbiz.de/10013137997
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A Trend-Cycle(-Season) Filter
Mohr, Matthias F. - 2021
This paper proposes a new univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension, the Trend-Cycle-Season filter (TCS filter). They can be regarded as extensions of the Hodrick-Prescott filter (HP...
Persistent link: https://www.econbiz.de/10013318509
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The Missing Cycle in the HP Filter and the Measurement of Cyclically-Adjusted Budget Balances
Mohr, Matthias F. - 2012
The HP filter suffers from a pro-cyclical bias in end-of-sample trend estimates. This paper argues that this feature is related to the 'missing cycle' in the stochastic model of the filter. The paper suggest an extensions of the HP filter by including a stochastic cycle component in the...
Persistent link: https://www.econbiz.de/10013110705