Estimating turning points using large data sets

DOI10.1016/J.JECONOM.2013.08.034MaRDI QIDQ2511794zbMATH OpenOpenAlexFDO

Authors James H. Stock, Mark W. Watson

Publication date 6 August 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2013.08.034

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• Chapter 1 Dating Business Cycle Turning Points
• Identifying turning points in the business cycle
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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• On Estimation of a Probability Density Function and Mode
• On the asymptotic normality of kernel regression estimators of the mode in the nonparametric random design model.
• On weak convergence and optimality of kernel density estimates of the mode
• Synchronization of cycles

Cited in

(17)

• New algorithms for dating the business cycle
• Estimation and inference for high dimensional factor model with regime switching
• Assessing the Precision of Turning Point Estimates in Polynomial Regression Functions
• Structural changes in large economic datasets: a nonparametric homogeneity test
• Foreign trade survey data: do they help in forecasting exports and imports?
• Reconciled Estimates of Monthly GDP in the United States
• scientific article; zbMATH DE number 4098997 (Why is no real title available?)
• Estimating the turning point location in shifted exponential model of time series
• A Note on the Use of Local Maxima to Predict Turning Points in Related Series
• A New Approach to Dating the Reference Cycle
• Combined Density Nowcasting in an Uncertain Economic Environment
• Markov switching panel with endogenous synchronization effects
• Some statistical aspects of methods for detection of turning points in business cycles
• Chapter 1 Dating Business Cycle Turning Points
• Detecting stock market turning points using wavelet leaders method
• Identifying turning points in the business cycle
• A flexible predictive density combination for large financial data sets in regular and crisis periods

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