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Disentangling irregular cycles in economic time series

Author

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  • Schober, Dominik
  • Woll, Oliver

Abstract

Cycles play an important role when analyzing market phenomena. In many markets, both overlaying (weekly, seasonal or business cycles) and time-varying cycles (e.g. asymmetric lengths of peak and off peak or variation of business cycle length) exist simultaneously. Identification of these market cycles is crucial and no standard detection procedure exists to disentangle them. We introduce and investigate an adaptation of an endogenous structural break test for detecting at the same time simultaneously overlaying as well as time-varying cycles. This is useful for growth or business cycle analysis as well as for analysis of complex strategic behavior and short-term dynamics.

Suggested Citation

  • Schober, Dominik & Woll, Oliver, 2015. "Disentangling irregular cycles in economic time series," ZEW Discussion Papers 15-067, ZEW - Leibniz Centre for European Economic Research.
  • Handle: RePEc:zbw:zewdip:15067
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    References listed on IDEAS

    as
    1. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
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    More about this item

    Keywords

    structural breaks; cluster analysis; filter; rolling regression; change points; model selection; cycles; economic dynamics;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
    • L50 - Industrial Organization - - Regulation and Industrial Policy - - - General

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