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Almost periodically correlated time series in business fluctuations analysis

  • Łukasz Lenart

    (Economic Institute in National Bank of Poland, Department of Mathematics in Cracow University of Economics)

  • Mateusz Pipień

    (Economic Institute in National Bank of Poland, Department of Econometrics and Operations Research in Cracow University of Economics)

We propose a non-standard subsampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising fluctuations of economic growth. We show that some characteristics of business cycle can be modelled in a non-parametric way by discrete spectrum of the Almost Periodically Correlated (APC) time series. On the basis of estimated characteristics of this spectrum business cycle is extracted by filtering. As an illustration we characterise the man properties of business cycles in industrial production index for Polish economy.

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File URL: http://www.nbp.pl/publikacje/materialy_i_studia/107_en.pdf
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Paper provided by National Bank of Poland, Economic Institute in its series National Bank of Poland Working Papers with number 107.

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Length: 39
Date of creation: 2012
Date of revision:
Handle: RePEc:nbp:nbpmis:107
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  1. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
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