New algorithms for dating the business cycle

DOI10.1016/j.csda.2004.05.024zbMath1429.62694MaRDI QIDQ957217

Tommaso Proietti

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.05.024

zbMATH Keywords

Markov chains; signal extraction; simulation smoothing; band-pass filters; coincident indicators

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

Related Items

Second special issue on computational econometrics, Signal extraction and filtering by linear semiparametric methods, Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter

Uses Software

• Ox
• SsfPack
• TRAMO

Cites Work

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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A simple and efficient simulation smoother for state space time series analysis
• The simulation smoother for time series models