Disentangling irregular cycles in economic time series

Arbeitspapier

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.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ZEW Discussion Papers ; No. 15-067

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Single Equation Models; Single Variables: Truncated and Censored Models; Switching Regression Models; Threshold Regression Models ; Single Equation Models; Single Variables: Other ; Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence ; Regulation and Industrial Policy: General
• Subject: structural breaks ; cluster analysis ; filter ; rolling regression ; change points ; model selection ; cycles ; economic dynamics

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Schober, Dominik ; Woll, Oliver
• Event: Veröffentlichung
• (who): Zentrum für Europäische Wirtschaftsforschung (ZEW)
• (where): Mannheim
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/119314
• URN: urn:nbn:de:bsz:180-madoc-398172