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Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression

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  • Göran Kauermann
  • Timo Teuber
  • Peter Flaschel

    ()

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File URL: http://hdl.handle.net/10.1007/s10614-011-9262-2
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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 39 (2012)
Issue (Month): 4 (April)
Pages: 409-427

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Handle: RePEc:kap:compec:v:39:y:2012:i:4:p:409-427

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Web page: http://www.springerlink.com/link.asp?id=100248
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Related research

Keywords: Penalized spline regression; Bivariate nonparametric regression; Business cycle; Distributive cycle; C32; C14; E32;

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References

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  1. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, July.
  2. Long, John B, Jr & Plosser, Charles I, 1983. "Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 91(1), pages 39-69, February.
  3. Krivobokova, Tatyana & Kauermann, Goran, 2007. "A Note on Penalized Spline Smoothing With Correlated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1328-1337, December.
  4. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167, April.
  5. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
    • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
  6. Atkinson, Anthony B, 1969. "The Timescale of Economic Models: How Long Is the Long Run?," Review of Economic Studies, Wiley Blackwell, vol. 36(106), pages 137-52, April.
  7. Schlicht, Ekkehart, 2004. "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," IZA Discussion Papers 1054, Institute for the Study of Labor (IZA).
  8. Tommaso Proietti, 2004. "Forecasting and Signal Extraction with Misspecified Models," Econometrics 0401002, EconWPA.
  9. Chiarella,Carl & Flaschel,Peter & Franke,Reiner, 2011. "Foundations for a Disequilibrium Theory of the Business Cycle," Cambridge Books, Cambridge University Press, number 9780521369923, April.
  10. Göran Kauermann & Tatyana Krivobokova & Ludwig Fahrmeir, 2009. "Some asymptotic results on generalized penalized spline smoothing," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 487-503.
  11. Kauermann Goeran & Krivobokova Tatyana & Semmler Willi, 2011. "Filtering Time Series with Penalized Splines," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-28, March.
  12. Wenxin Mao & Linda H. Zhao, 2003. "Free-knot polynomial splines with confidence intervals," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(4), pages 901-919.
  13. repec:wop:humbsf:1996-48 is not listed on IDEAS
  14. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521780506, April.
  15. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
  16. Wolfgang HÄRDLE & H. LÜTKEPOHL & R. CHEN, 1996. "A Review of Nonparametric Time Series Analysis," SFB 373 Discussion Papers 1996,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  17. Yingxing Li & David Ruppert, 2008. "On the asymptotics of penalized splines," Biometrika, Biometrika Trust, vol. 95(2), pages 415-436.
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