Arbeitspapier
Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies of parameters are implied by a time dependent sample spectrum. Explicit model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency domain by maximising the spectral likelihood function. The time dependent spectrum is specified as a semi-parametric smoothing spline ANOVA function that can be formulated in state space form. Since the resulting spectral likelihood function is time-varying, model parameter estimates become time-varying as well. This new and simple approach to business cycle extraction includes bootstrap procedures for the computation of confidence intervals and real-time procedures for the forecasting of the spectrum and the business cycle. We illustrate the methodology by presenting a complete business cycle analysis for two U.S. macroeconomic time series. The empirical results are promising and provide significant evidence for the great moderation of the U.S. business cycle.
- Sprache
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Englisch
- Erschienen in
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Series: Tinbergen Institute Discussion Paper ; No. 06-105/4
- Klassifikation
-
Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Business Fluctuations; Cycles
- Thema
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Frequency domain estimation
frequency domain bootstrap
time-varying parameters
unobserved components models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Koopman, Siem Jan
Wong, Soon Yip
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:25 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Koopman, Siem Jan
- Wong, Soon Yip
- Tinbergen Institute
Entstanden
- 2006