Tracking the US Business Cycle with a Singular Spectrum Analysis

M. de Carvalho, P. C. Rodrigues, A. Rua

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

In this paper we resort to singular spectrum analysis to disentangle the US GDP into several underlying components of interest. The business cycle indicator yielded through this method is shown to bear a resemblance with band-pass filtered output, and our results suggest it possesses better revision performance than other commonly applied filters.
Original languageEnglish
Pages (from-to)32-35
Number of pages4
JournalEconomics Letters
Issue number1
Publication statusPublished - 1 Jan 2012


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