Keywords:
Forschungsbericht
Description / Table of Contents:
The paper develops a non-parametric, non-stationary framework for business-cycle dating based on an innovative statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study of the individual macroeconomic time series relevant to the dating of the business cycle as well as for the estimation of their joint dynamic. Since the business cycle is defined as the common dynamic of some set of macroeconomic indicators, its estimation depends fundamentally on the group of series monitored. We apply our dating approach to two sets of US economic indicators including the monthly series of industrial production, nonfarm payroll employment, real income, wholesale-retail trade and gross domestic product (GDP). We find evidence of a change in the methodology of the NBER's Business-Cycle Dating Committee: an extended set of five monthly macroeconomic indicators replaced in the dating of the last recession the set of indicators emphasized by the NBER's Business-Cycle Dating Committee in recent decades. This change seems to seriously affect the continuity in the outcome of the dating of business cycle. Had the dating been done on the traditional set of indicators, the last recession would have lasted one year and a half longer ...
Type of Medium:
Online Resource
Pages:
1 Online-Ressource (30 Seiten, 401,75 KB)
,
Diagramme
Series Statement:
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik im Forschungsverbund Berlin e.V. no. 934
URL:
http://webdoc.sub.gwdg.de/ebook/serien/e/wias/2004/2004/wias_preprints_934.pdf
URL:
https://edocs.tib.eu/files/e01fn21/504273728.pdf
DDC:
510
Language:
English
Note:
Literaturverzeichnis: Seite 26-28
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