Publication

Tracking the US business cycle with a singular spectrum analysis

2012
Journal Articles

Abstract

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. (C) 2011 Elsevier B.V. All rights reserved.

Official source

https://infoscience.epfl.ch/entities/publication/c198fa5d-130e-41bf-8348-b87bc25dfed6

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2012
Journal Articles

Abstract

Official source

https://infoscience.epfl.ch/entities/publication/c198fa5d-130e-41bf-8348-b87bc25dfed6

About this result

Related concepts (17)

Band-pass filter

A band-pass filter or bandpass filter (BPF) is a device that passes frequencies within a certain range and rejects (attenuates) frequencies outside that range. In electronics and signal processing, a filter is usually a two-port circuit or device which removes frequency components of a signal (an alternating voltage or current). A band-pass filter allows through components in a specified band of frequencies, called its passband but blocks components with frequencies above or below this band.

High-pass filter

A high-pass filter (HPF) is an electronic filter that passes signals with a frequency higher than a certain cutoff frequency and attenuates signals with frequencies lower than the cutoff frequency. The amount of attenuation for each frequency depends on the filter design. A high-pass filter is usually modeled as a linear time-invariant system. It is sometimes called a low-cut filter or bass-cut filter in the context of audio engineering. High-pass filters have many uses, such as blocking DC from circuitry sensitive to non-zero average voltages or radio frequency devices.

Business cycle

Business cycles are intervals of expansion followed by recession in economic activity. A recession is sometimes technically defined as 2 quarters of negative GDP growth, but definitions vary; for example, in the United States, a recession is defined as "a significant decline in economic activity spread across the market, lasting more than a few months, normally visible in real GDP, real income, employment, industrial production, and wholesale-retail sales.

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