English, Article, Journal or magazine article edition: Sequential Methodology for Signaling Business Cycle Turning Points Vasyl Golosnoy; Jens Hogrefe

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Bookmark: http://trove.nla.gov.au/version/104466
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Sequential Methodology for Signaling Business Cycle Turning Points
Author
  • Vasyl Golosnoy
  • Jens Hogrefe
Physical Description
  • preprint
Notes
  • The dates of U.S. business cycle are reported by NBER with a considerable delay, so an early notion of turning points is of particular interest. This paper proposes a novel sequential approach designed for timely signaling these turning points. A directional cumulated sum decision rule is adapted for the purpose of on-line monitoring of transitions between subsequent phases of economic activity. The introduced procedure shows a sound detection ability for business cycle peaks and troughs compared to the established dynamic factor Markov switching methodology. It exhibits a range of theoretical optimality properties for early signaling, moreover, it is transparent and easy to implement
  • Business cycle; CUSUM control chart; Dynamic Factor Markov switching models; Early signaling; NBER dating
  • RePEc:kie:kieliw:1528
Language
  • English
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