Business cycle and sector cycles
A methodology based on the multivariate generalized Butterwoth filter for extracting the business cycles of the whole economy and of its productive sectors is developed. The method is then illustrated through an application to the Italian gross value added time series of the main economic sectors.
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- Valle e Azevedo, Joao & Koopman, Siem Jan & Rua, Antonio, 2006. "Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 278-290, July.
- Andrew C. Harvey & Thomas M. Trimbur, 2003.
"General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series,"
The Review of Economics and Statistics,
MIT Press, vol. 85(2), pages 244-255, May.
- Harvey, A.C. & Trimbur, T.M., 2001. "General Model-based Filters for Extracting Cycles and Trends in Economic Time Series," Cambridge Working Papers in Economics 0113, Faculty of Economics, University of Cambridge.
- Gomez, Victor, 2001. "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 365-73, July.
- 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.
- Neil Shephard & Jurgen Doornik & Siem Jan Koopman, 1998.
"Statistical algorithms for models in state space using SsfPack 2.2,"
Economics Series Working Papers
1998-W06, University of Oxford, Department of Economics.
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
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