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Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression

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  • Göran Kauermann
  • Timo Teuber
  • Peter Flaschel

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  • 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
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    6. 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.
    7. 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.
    8. 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.
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    15. 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.
    16. 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.
    17. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
    18. 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.
    19. 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.
    20. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
    21. 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.
    22. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167, October.
    23. Yingxing Li & David Ruppert, 2008. "On the asymptotics of penalized splines," Biometrika, Biometrika Trust, vol. 95(2), pages 415-436.
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    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.

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    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

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