Measuring Business Cycles In Economic Time Series

Author : Regina Kaiser
Publisher : Springer Science & Business Media
ISBN 13 : 1461301297
Total Pages : 198 pages
Book Rating : 4.95/5 ( download)

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Download or read book Measuring Business Cycles in Economic Time Series written by Regina Kaiser and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series forecasts and back-casts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented using artificial and actual data demonstrate the superiority of the alternative strategy.

Author : Regina Kaiser
Publisher :
ISBN 13 : 9783540951124
Total Pages : 190 pages
Book Rating : 4.21/5 ( download)

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Download or read book Measuring business cycles in economic time series written by Regina Kaiser and published by . This book was released on 2001 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Francis X. Diebold
Publisher : Princeton University Press
ISBN 13 : 0691219583
Total Pages : 438 pages
Book Rating : 4.85/5 ( download)

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Download or read book Business Cycles written by Francis X. Diebold and published by Princeton University Press. This book was released on 2020-10-06 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the most sophisticated and up-to-date econometric analysis of business cycles now available. Francis Diebold and Glenn Rudebusch have long been acknowledged as leading experts on business cycles. And here they present a highly integrative collection of their most important essays on the subject, along with a detailed introduction that draws together the book's principal themes and findings. Diebold and Rudebusch use the latest quantitative methods to address five principal questions about the measurement, modeling, and forecasting of business cycles. They ask whether business cycles have become more moderate in the postwar period, concluding that recessions have, in fact, been shorter and shallower. They consider whether economic expansions and contractions tend to die of "old age." Contrary to popular wisdom, they find little evidence that expansions become more fragile the longer they last, although they do find that contractions are increasingly likely to end as they age. The authors discuss the defining characteristics of business cycles, focusing on how economic variables move together and on the timing of the slow alternation between expansions and contractions. They explore the difficulties of distinguishing between long-term trends in the economy and cyclical fluctuations. And they examine how business cycles can be forecast, looking in particular at how to predict turning points in cycles, rather than merely the level of future economic activity. They show here that the index of leading economic indicators is a poor predictor of future economic activity, and consider what we can learn from other indicators, such as financial variables. Throughout, the authors make use of a variety of advanced econometric techniques, including nonparametric analysis, fractional integration, and regime-switching models. Business Cycles is crucial reading for policymakers, bankers, and business executives.

Author : Haim Y. Bleikh
Publisher : CRC Press
ISBN 13 : 1317010183
Total Pages : 149 pages
Book Rating : 4.80/5 ( download)

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Download or read book Time Series Analysis and Adjustment written by Haim Y. Bleikh and published by CRC Press. This book was released on 2016-02-24 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Time Series Analysis and Adjustment the authors explain how the last four decades have brought dramatic changes in the way researchers analyze economic and financial data on behalf of economic and financial institutions and provide statistics to whomsoever requires them. Such analysis has long involved what is known as econometrics, but time series analysis is a different approach driven more by data than economic theory and focused on modelling. An understanding of time series and the application and understanding of related time series adjustment procedures is essential in areas such as risk management, business cycle analysis, and forecasting. Dealing with economic data involves grappling with things like varying numbers of working and trading days in different months and movable national holidays. Special attention has to be given to such things. However, the main problem in time series analysis is randomness. In real-life, data patterns are usually unclear, and the challenge is to uncover hidden patterns in the data and then to generate accurate forecasts. The case studies in this book demonstrate that time series adjustment methods can be efficaciously applied and utilized, for both analysis and forecasting, but they must be used in the context of reasoned statistical and economic judgment. The authors believe this is the first published study to really deal with this issue of context.

Author : Terence C. Mills
Publisher : Springer Nature
ISBN 13 : 3030763595
Total Pages : 219 pages
Book Rating : 4.96/5 ( download)

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Download or read book Modelling Trends and Cycles in Economic Time Series written by Terence C. Mills and published by Springer Nature. This book was released on 2021-07-29 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles from time series. In this second edition, Terence Mills expands on the research in the area of trends and cycles over the last (almost) two decades, to highlight to students and researchers the variety of techniques and the considerations that underpin their choice for modelling trends and cycles.

Author : Arthur F. Burns
Publisher :
ISBN 13 :
Total Pages : 602 pages
Book Rating : 4.14/5 ( download)

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Download or read book Measuring Business Cycles written by Arthur F. Burns and published by . This book was released on 1946 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Ms.Valerie Cerra
Publisher : International Monetary Fund
ISBN 13 : 1513536990
Total Pages : 50 pages
Book Rating : 4.96/5 ( download)

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Download or read book Hysteresis and Business Cycles written by Ms.Valerie Cerra and published by International Monetary Fund. This book was released on 2020-05-29 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditionally, economic growth and business cycles have been treated independently. However, the dependence of GDP levels on its history of shocks, what economists refer to as “hysteresis,” argues for unifying the analysis of growth and cycles. In this paper, we review the recent empirical and theoretical literature that motivate this paradigm shift. The renewed interest in hysteresis has been sparked by the persistence of the Global Financial Crisis and fears of a slow recovery from the Covid-19 crisis. The findings of the recent literature have far-reaching conceptual and policy implications. In recessions, monetary and fiscal policies need to be more active to avoid the permanent scars of a downturn. And in good times, running a high-pressure economy could have permanent positive effects.

Author : John B. Guerard
Publisher : Springer Nature
ISBN 13 : 303099418X
Total Pages : 666 pages
Book Rating : 4.81/5 ( download)

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Download or read book The Leading Economic Indicators and Business Cycles in the United States written by John B. Guerard and published by Springer Nature. This book was released on 2022-07-06 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a time of unprecedented economic uncertainty, this book provides empirical guidance to the economy and what to expect in the near and distant future. Beginning with a historic look at major contributions to economic indicators and business cycles starting with Wesley Clair Mitchell (1913) to Burns and Mitchell (1946), to Moore (1961) and Zarnowitz (1992), this book explores time series forecasting and economic cycles, which are currently maintained and enhanced by The Conference Board. Given their highly statistically significant relationship with GDP and the unemployment rate, these relationships are particularly useful for practitioners to help predict business cycles.

Author : Gerhard Bry
Publisher :
ISBN 13 :
Total Pages : 242 pages
Book Rating : 4.12/5 ( download)

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Download or read book Cyclical Analysis of Time Series written by Gerhard Bry and published by . This book was released on 1971 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Study of programmed procedures in economic research and statistical method with regard to computerised analysis of cyclical turning points relative to business cycles. References.

Author : Philip Rothman
Publisher : Springer Science & Business Media
ISBN 13 : 0792383796
Total Pages : 394 pages
Book Rating : 4.96/5 ( download)

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Download or read book Nonlinear Time Series Analysis of Economic and Financial Data written by Philip Rothman and published by Springer Science & Business Media. This book was released on 1999-01-31 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.