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Measuring major and minor cycles in univariate economic time series

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  • Fukuda, Kosei

Abstract

The coexistence of cycles with different periods complicates the assessment of the current macroeconomic conditions. In order to overcome this problem, a modeling of multiple autoregressive processes in a univariate time series is presented. In the proposed model, individual autoregressive processes are assumed to be mutually uncorrelated, and the number of individual autoregressive processes is determined using information criteria. Simulation results show that the proposed procedure is sufficiently applicable for measuring major and minor cycles. Empirical applications suggest the usefulness and limitations of the proposed method.

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File URL: http://www.sciencedirect.com/science/article/B6VB1-4W80CCS-1/2/95a50960672ef60f7d930da140d80d65
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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 26 (2009)
Issue (Month): 5 (September)
Pages: 1093-1100

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Handle: RePEc:eee:ecmode:v:26:y:2009:i:5:p:1093-1100

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Web page: http://www.elsevier.com/locate/inca/30411

Related research

Keywords: Major cycle Minor cycle Multiple autoregressive processes;

References

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  1. Antonio Afonso & Peter Claeys, 2007. "The dynamic behaviour of budget components and output," Working Paper Series 775, European Central Bank.
  2. Haitham A. Al Zoubi & Aktham Maghyereh, 2005. "Examining complex unit roots in the MENA countries industrial production indices," Applied Economics Letters, Taylor and Francis Journals, vol. 12(4), pages 255-259.
  3. James C. Morley & Charles R. Nelson & Eric Zivot, 2003. "Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 235-243, May.
  4. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, April.
  5. Victor Zarnowitz, 1992. "Business Cycles: Theory, History, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number zarn92-1, April.
  6. Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 533-540, May.
  7. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
  8. Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers 782, C.E.P.R. Discussion Papers.
  9. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  10. Clark, Peter K, 1987. "The Cyclical Component of U.S. Economic Activity," The Quarterly Journal of Economics, MIT Press, vol. 102(4), pages 797-814, November.
  11. Kosei Fukuda, 2008. "The validity of trend-cycle decomposition using unobserved component model: Monte Carlo evidence," Applied Economics Letters, Taylor and Francis Journals, vol. 15(5), pages 367-369.
  12. Kosei Fukuda, 2006. "Age-period-cohort decomposition of aggregate data: an application to US and Japanese household saving rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(7), pages 981-998.
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