Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression

Kauermann G, Teuber T, Flaschel P (2012)
Computational Economics 39(4): 409-427.

Zeitschriftenaufsatz | Veröffentlicht| Englisch
 
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Autor/in
Kauermann, GöranUniBi; Teuber, Timo; Flaschel, Peter
Abstract / Bemerkung
The phrase business cycle is usually used for short term fluctuations in macroeconomic time series. In this paper we focus on the estimation of business cycles in a bivariate manner by fitting two series simultaneously. The underlying model is thereby nonparametric in that no functional form is prespecified but smoothness of the functions are assumed. The functions are then estimated using penalized spline estimation. The bivariate approach will allow to compare business cycles, check and compare phase lengths and visualize this in forms of loops in a bivariate way. Moreover, the focus is on separation of long and short phase fluctuation, where only the latter is the classical business cycle while the first is better known as Friedman or Goodwin cycle, respectively. Again, we use nonparametric models and fit the functional shape with penalized splines. For the separation of long and short phase components we employ an Akaike criterion.
Stichworte
Business cycle; Penalized spline regression; Bivariate nonparametric regression; Distributive cycle
Erscheinungsjahr
2012
Zeitschriftentitel
Computational Economics
Band
39
Ausgabe
4
Seite(n)
409-427
ISSN
0927-7099
eISSN
1572-9974
Page URI
https://pub.uni-bielefeld.de/record/2493135

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Kauermann G, Teuber T, Flaschel P. Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression. Computational Economics. 2012;39(4):409-427.
Kauermann, G., Teuber, T., & Flaschel, P. (2012). Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression. Computational Economics, 39(4), 409-427. doi:10.1007/s10614-011-9262-2
Kauermann, G., Teuber, T., and Flaschel, P. (2012). Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression. Computational Economics 39, 409-427.
Kauermann, G., Teuber, T., & Flaschel, P., 2012. Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression. Computational Economics, 39(4), p 409-427.
G. Kauermann, T. Teuber, and P. Flaschel, “Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression”, Computational Economics, vol. 39, 2012, pp. 409-427.
Kauermann, G., Teuber, T., Flaschel, P.: Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression. Computational Economics. 39, 409-427 (2012).
Kauermann, Göran, Teuber, Timo, and Flaschel, Peter. “Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression”. Computational Economics 39.4 (2012): 409-427.