Measuring business cycles in economic time series:
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
Springer
2001
|
| Series: | Lecture notes in statistics
154 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 190 S. graph. Darst. |
| ISBN: | 0387951121 |
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| 100 | 1 | |a Kaiser, Regina |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Measuring business cycles in economic time series |c Regina Kaiser ; Agustín Maravall |
| 264 | 1 | |a New York [u.a.] |b Springer |c 2001 | |
| 300 | |a VIII, 190 S. |b graph. Darst. | ||
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Record in the Search Index
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| adam_text | Contents
Figures vii
1 Introduction and Brief Summary 1
2 A Brief Review of Applied Time Series Analysis 5
2.1 Some Basic Concepts 5
2.2 Stochastic Processes and Stationarity 7
2.3 Differencing 8
2.4 Linear Stationary Process, Wold Representation, and Auto¬
correlation Function 13
2.5 The Spectrum 16
2.6 Linear Filters and Their Squared Gain 27
3 ARIMA Models and Signal Extraction 31
3.1 ARIMA Models 31
3.2 Modeling Strategy, Diagnostics and Inference 39
3.2.1 Identification 39
3.2.2 Estimation and Diagnostics 40
3.2.3 Inference 41
3.2.4 A Particular Class of Models 43
3.3 Preadjustment 44
3.4 Unobserved Components and Signal Extraction 48
3.5 ARIMA Model Based Decomposition of a Time Series ... 55
vi Contents
3.6 Short Term and Long Term Trends 65
4 Detrending and the Hodrick—Prescott Filter 69
4.1 The Hodrick Prescott Filter: Equivalent Representations . . 69
4.2 Basic Characteristics of the Hodrick Prescott Filter .... 72
4.3 Some Criticisms and Discussion of the Hodrick Prescott Filter 77
4.4 The Hodrick Prescott Filter as a Wiener Kolmogorov Filter 80
4.4.1 An Alternative Representation 80
4.4.2 Derivation of the Filter 82
4.4.3 The Algorithm 85
4.4.4 A Note on Computation 86
5 Some Basic Limitations of the Hodrick Prescott Filter 87
5.1 Endpoint Estimation and Revisions 87
5.1.1 Preliminary Estimation and Revisions 87
5.1.2 An Example 90
5.2 Spurious Results 100
5.2.1 Spurious Crosscorrelation 101
5.2.2 Spurious Autocorrelation; Calibration 103
5.2.3 Spurious Periodic Cycle 105
5.3 Noisy Cyclical Signal 114
6 Improving the Hodrick Prescott Filter 117
6.1 Reducing Revisions 117
6.2 Improving the Cyclical Signal 121
7 Hodrick Prescott Filtering Within a
Model Based Approach 135
7.1 A Simple Model Based Algorithm 135
7.2 A Complete Model Based Method;
Spuriousness Reconsidered 137
7.3 Some Comments on Model Based Diagnostics and Inference 156
7.4 MMSE Estimation of the Cycle: A Paradox 167
Appendix 171
References 177
Author Index 184
Subject Index 186
Figures
2.1 Roots of unit circle page 10
2.2 Sine cosine functions 12
2.3 Theoretical ACF/Sample ACF 15
2.4 Generated time series/Fourier series 17
2.5 Histogram of frequencies/power spectrum 18
2.6 Spectra of AR(2) process 22
2.7 Realization of AR(2) process 23
2.8 Examples of spectra 24
2.9 Cyclical period and frequency 26
2.10 Series spectrum/gain of seasonal detrending filters 29
3.1 Stationarity region for AR(2) parameters 35
3.2 Spectra of IMA(1,1) process 38
3.3 Forecasts and 95% confidence interval 42
3.4 Preadjustment 46
3.5 Deterministic effects 47
3.6 Canonical decomposition of a random walk 57
3.7 Spectral AMB decomposition 59
3.8 Wiener Kolmogorov filter 60
3.9 Squared gains 61
3.10 Series and estimated components 62
3.11 Standard error and estimators 63
3.12 Forecasts 64
3.13 Squared gain for trend cycle filter 65
3.14 Squared gain for trend/trend estimators 67
4.1 Squared gain function: Butterworth filters 71
4.2 Hodrick Prescott filter, trend 73
4.3 Hodrick Prescott filter, cycle 75
4.4 Xll HP cycle filter 76
4.5 Spectrum of the white noise component estimator 79
5.1 Short term economic indicators: original series 92
5.2 Xll SA series and HP trend 93
5.3 XI1 and HP cycles 94
5.4 Concurrent versus final trend estimator 95
5.5 Concurrent versus final cycle estimator 96
5.6 Revisions in concurrent estimator 97
5.7 95% Confidence intervals for cycle (based on revisions) 99
5.8 Squared gain: convolution of HP and XI1 filters 100
5.9 Density for correlation coefficient: white noise case 101
5.10 Density for correlation coefficient: random walk case 102
Figures viii
5.11 Density for correlation coefficient: airline model page 103
5.12 Spectrum of AR(4) for the white noise case 106
5.13 Decomposition of a white noise series 107
5.14 Spectrum of cycle component in a random walk 108
5.15 Spectrum of cycle in IMA(1,1) as a function of theta 109
5.16 Decomposition of a random walk series 110
5.17 Period of cycle as a function of lambda 112
5.18 Spectrum of a cycle in a random walk 113
5.19 Estimated trends 114
5.20 Estimated cycles 114
6.1 HP cycle based on XI1 and SEATS SA series 125
6.2 Spectrum of cycle 126
6.3 Trend and trend cycle components 127
6.4 HP cycle based on SEATS trend and on Xll SA series 128
6.5 Spectrum of cycle (SEATS trend and Xll SA series) 129
6.6 Difference between cycles (SEATS trend and Xll SA series) 130
6.7 HP cycles based on Xll SA series 131
6.8 HP cycles based on SEATS trend 131
6.9 Standard deviation of revision from concurrent to 132
final estimation 133
6.10 95% C.I. for HP cycle (based on revisions) 139
7.1 Spectra in the model based interpretation 140
7.2 Spectra of the difference (original minus cycle) 141
7.3 Decomposition of the series 148
7.4 Spectra for original series and components: series CC 149
7.5 Spectra for original series and components: series IPI 150
7.6 Spectra for original series and components: series CR 151
7.7 Spectra for original series and components: series AP 152
7.8 Squared gain of filters for components: series CC 153
7.9 Squared gain of filters for components: series IPI 154
7.10 Squared gain of filters for components: series CR 155
7.11 Squared gain of filters for components: series AP 163
7.12 AMB and HP X11: estimated components of CC 164
7.13 AMB and HP X11: estimated components of IPI 165
7.14 AMB and HP X11: estimated components of CR 166
7.15 AMB and HP X11: estimated components of AP 169
7.16 Spectra of the trend cycle and cycle estimators
|
| any_adam_object | 1 |
| author | Kaiser, Regina Maravall, Agustín |
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| isbn | 0387951121 |
| language | English |
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| spelling | Kaiser, Regina Verfasser aut Measuring business cycles in economic time series Regina Kaiser ; Agustín Maravall New York [u.a.] Springer 2001 VIII, 190 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in statistics 154 Business cycles gtt Cycles économiques Cycles économiques ram Filtering (signalen) gtt Série chronologique Séries chronologiques ram Tijdreeksen gtt Business cycles Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Konjunkturdiagnose (DE-588)4139120-2 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 s Konjunkturdiagnose (DE-588)4139120-2 s Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Maravall, Agustín Verfasser aut Lecture notes in statistics 154 (DE-604)BV002447846 154 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009230009&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kaiser, Regina Maravall, Agustín Measuring business cycles in economic time series Lecture notes in statistics Business cycles gtt Cycles économiques Cycles économiques ram Filtering (signalen) gtt Série chronologique Séries chronologiques ram Tijdreeksen gtt Business cycles Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd Konjunkturdiagnose (DE-588)4139120-2 gnd Konjunkturzyklus (DE-588)4032134-4 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4139120-2 (DE-588)4032134-4 |
| title | Measuring business cycles in economic time series |
| title_auth | Measuring business cycles in economic time series |
| title_exact_search | Measuring business cycles in economic time series |
| title_full | Measuring business cycles in economic time series Regina Kaiser ; Agustín Maravall |
| title_fullStr | Measuring business cycles in economic time series Regina Kaiser ; Agustín Maravall |
| title_full_unstemmed | Measuring business cycles in economic time series Regina Kaiser ; Agustín Maravall |
| title_short | Measuring business cycles in economic time series |
| title_sort | measuring business cycles in economic time series |
| topic | Business cycles gtt Cycles économiques Cycles économiques ram Filtering (signalen) gtt Série chronologique Séries chronologiques ram Tijdreeksen gtt Business cycles Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd Konjunkturdiagnose (DE-588)4139120-2 gnd Konjunkturzyklus (DE-588)4032134-4 gnd |
| topic_facet | Business cycles Cycles économiques Filtering (signalen) Série chronologique Séries chronologiques Tijdreeksen Time-series analysis Zeitreihenanalyse Konjunkturdiagnose Konjunkturzyklus |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009230009&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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