IDEAS home Printed from https://ideas.repec.org/a/kap/compec/v39y2012i4p409-427.html
   My bibliography  Save this article

Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression

Author

Listed:
  • Göran Kauermann
  • Timo Teuber
  • Peter Flaschel

Abstract

No abstract is available for this item.

Suggested Citation

  • Göran Kauermann & Timo Teuber & Peter Flaschel, 2012. "Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression," Computational Economics, Springer;Society for Computational Economics, vol. 39(4), pages 409-427, April.
    • Handle: RePEc:kap:compec:v:39:y:2012:i:4:p:409-427
    DOI: 10.1007/s10614-011-9262-2
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10614-011-9262-2
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10614-011-9262-2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    2. Wolfgang Härdle & Helmut Lütkepohl & Rong Chen, 1997. "A Review of Nonparametric Time Series Analysis," International Statistical Review, International Statistical Institute, vol. 65(1), pages 49-72, April.
    3. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-247, July-Sept.
    4. Schlicht, Ekkehart, 2004. "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," Discussion Papers in Economics 304, University of Munich, Department of Economics.
    5. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
    6. Göran Kauermann & Tatyana Krivobokova & Ludwig Fahrmeir, 2009. "Some asymptotic results on generalized penalized spline smoothing," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 487-503, April.
    7. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    8. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, September.
    9. Wenxin Mao & Linda H. Zhao, 2003. "Free‐knot polynomial splines with confidence intervals," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(4), pages 901-919, November.
    10. Tommaso Proietti, 2005. "Forecasting and signal extraction with misspecified models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
    11. Long, John B, Jr & Plosser, Charles I, 1983. "Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 91(1), pages 39-69, February.
    12. Kauermann Goeran & Krivobokova Tatyana & Semmler Willi, 2011. "Filtering Time Series with Penalized Splines," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-28, March.
    13. Kauermann, Goran, 2005. "Penalized spline smoothing in multivariable survival models with varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 49(1), pages 169-186, April.
    14. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
    15. Krivobokova, Tatyana & Kauermann, Goran, 2007. "A Note on Penalized Spline Smoothing With Correlated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1328-1337, December.
    16. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167, September.
    17. Sue J. Welham & Brian R. Cullis & Michael G. Kenward & Robin Thompson, 2006. "The Analysis of Longitudinal Data Using Mixed Model L-Splines," Biometrics, The International Biometric Society, vol. 62(2), pages 392-401, June.
    18. Yingxing Li & David Ruppert, 2008. "On the asymptotics of penalized splines," Biometrika, Biometrika Trust, vol. 95(2), pages 415-436.
    19. Chiarella,Carl & Flaschel,Peter & Franke,Reiner, 2011. "Foundations for a Disequilibrium Theory of the Business Cycle," Cambridge Books, Cambridge University Press, number 9780521369923, September.
    20. Brunner, Karl & Meltzer, Allan H., 1977. "Stabilization of the domestic and international economy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 1-6, January.
    21. A. B. Atkinson, 1971. "The Timescale of Economic Model How Long is the Long Run?," Palgrave Macmillan Books, in: F. H. Hahn (ed.), Readings in the Theory of Growth, chapter 19, pages 248-263, Palgrave Macmillan.
    22. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521839198, September.
    23. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 14(Spr), pages 3-18.
    24. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521780506, September.
    25. Maria Durbán & Iain D. Currie, 2003. "A note on P-spline additive models with correlated errors," Computational Statistics, Springer, vol. 18(2), pages 251-262, July.
    26. M. P. Wand, 2003. "Smoothing and mixed models," Computational Statistics, Springer, vol. 18(2), pages 223-249, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Araujo, Ricardo Azevedo & Dávila-Fernández, Marwil J. & Moreira, Helmar Nunes, 2019. "Some new insights on the empirics of Goodwin's growth-cycle model," Structural Change and Economic Dynamics, Elsevier, vol. 51(C), pages 42-54.
    2. Bernhelm Booss-Bavnbek & Rasmus Kristoffer Pedersen & Ulf R{o}rb{ae}k Pedersen, 2019. "Multiplicity of time scales in climate, matter, life, and economy," Papers 1907.01902, arXiv.org, revised Feb 2020.
    3. Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Michael Wegener & Göran Kauermann, 2017. "Forecasting in nonlinear univariate time series using penalized splines," Statistical Papers, Springer, vol. 58(3), pages 557-576, September.
    2. Blöchl, Andreas, 2014. "Penalized Splines as Frequency Selective Filters - Reducing the Excess Variability at the Margins," Discussion Papers in Economics 20687, University of Munich, Department of Economics.
    3. Kauermann Goeran & Krivobokova Tatyana & Semmler Willi, 2011. "Filtering Time Series with Penalized Splines," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-28, March.
    4. Korap, Levent, 2010. "A small scaled business-cycle analysis of the Turkish economy: some counter-cyclical evidence using new income series," MPRA Paper 28647, University Library of Munich, Germany.
    5. Levent, Korap, 2006. "An essay upon the business cycle facts: the Turkish case," MPRA Paper 21717, University Library of Munich, Germany.
    6. Celsa Machado, 2001. "Measuring Business Cycles: The Real Business Cycle Approach and Related Controversies," FEP Working Papers 107, Universidade do Porto, Faculdade de Economia do Porto.
    7. Francisco Andre & Javier Perez, 2005. "Robust stylized facts on comovement for the Spanish economy," Applied Economics, Taylor & Francis Journals, vol. 37(4), pages 453-462.
    8. Bloechl, Andreas, 2014. "Penalized Splines, Mixed Models and the Wiener-Kolmogorov Filter," Discussion Papers in Economics 21406, University of Munich, Department of Economics.
    9. Papageorgiou, Theofanis & Michaelides, Panayotis G. & Milios, John, 2009. "Economic Fluctuations, Cyclical Regularities and Technological Change: The U.S. Food Sector (1958–2006)," MPRA Paper 67115, University Library of Munich, Germany.
    10. Angelos VOULDIS & Panayotis MICHAELIDES & John MILIOS, 2008. "Do Technology Shocks affect Output and Profitability over the Business Cycle in Greece (1960-2008)?," EcoMod2008 23800152, EcoMod.
    11. Tawadros, George B., 2011. "The stylised facts of Australia's business cycle," Economic Modelling, Elsevier, vol. 28(1), pages 549-556.
    12. Takuma Yoshida, 2016. "Asymptotics and smoothing parameter selection for penalized spline regression with various loss functions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 278-303, November.
    13. Lee, Wang-Sheng, 2014. "Big and Tall: Is there a Height Premium or Obesity Penalty in the Labor Market?," IZA Discussion Papers 8606, Institute of Labor Economics (IZA).
    14. Michaelides, Panayotis G. & Papageorgiou, Theofanis & Vouldis, Angelos T., 2013. "Business cycles and economic crisis in Greece (1960–2011): A long run equilibrium analysis in the Eurozone," Economic Modelling, Elsevier, vol. 31(C), pages 804-816.
    15. Anusha, "undated". "Evaluating reliability of some symmetric and asymmetric univariate filters," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2015-030, Indira Gandhi Institute of Development Research, Mumbai, India.
    16. Anelí Bongers & José L. Torres & Jesús Rodríguez, 2010. "Caracterización del ciclo económico en Andalucía 1980 - 2008," Economic Working Papers at Centro de Estudios Andaluces E2010/08, Centro de Estudios Andaluces.
    17. Arkadiusz Kijek, 2017. "Spectral analysis of business cycles in Poland and its major trading partners," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 27(1), pages 57-75.
    18. Ioanna Konstantakopoulou & Eftymios Tsionas & Tryphon Kollintzas, 2009. "Stylized Facts of Prices and Interest Rates over the Business Cycle," Economics Bulletin, AccessEcon, vol. 29(4), pages 2613-2627.
    19. Pontines, Victor, 2017. "The financial cycles in four East Asian economies," Economic Modelling, Elsevier, vol. 65(C), pages 51-66.
    20. Andreas Groth & Michael Ghil & Stéphane Hallegatte & Patrice Dumas, 2015. "The role of oscillatory modes in US business cycles," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2015(1), pages 63-81.

    More about this item

    Keywords

    Penalized spline regression; Bivariate nonparametric regression; Business cycle; Distributive cycle; C32; C14; E32;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:39:y:2012:i:4:p:409-427. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.