Disentangling irregular cycles in economic time series


Schober, Dominik ; Woll, Oliver


[img]
Preview
PDF
dp15067.pdf - Published

Download (692kB)

URL: https://ub-madoc.bib.uni-mannheim.de/39817
URN: urn:nbn:de:bsz:180-madoc-398172
Document Type: Working paper
Year of publication: 2015
The title of a journal, publication series: ZEW Discussion Papers
Volume: 15-067
Place of publication: Mannheim
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: C22 , C24 , C29 , O47 , L50,
Keywords (English): Structural breaks , cluster analysis , filter , rolling regression , change points , model selection , cycles , economic dynamics
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.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




+ Citation Example and Export

Schober, Dominik ; Woll, Oliver (2015) Disentangling irregular cycles in economic time series. Open Access ZEW Discussion Papers Mannheim 15-067 [Working paper]
[img]
Preview


+ Search Authors in

+ Download Statistics

Downloads per month over past year

View more statistics



You have found an error? Please let us know about your desired correction here: E-Mail


Actions (login required)

Show item Show item