@techreport{Golosnoy2009Sequential,
abstract = {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.},
address = {Kiel},
author = {Vasyl Golosnoy and Jens Hogrefe},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C44; C50; E32; 330; Business cycle; CUSUM control chart; Dynamic Factor Markov switching models; Early signaling; NBER dating; Konjunktureller Wendepunkt; Konjunkturprognose; Prognoseverfahren; Sequentialanalyse; Statistische Qualit\"{a}tskontrolle; USA},
language = {eng},
number = {1528},
publisher = {Kiel Institute for the World Economy (IfW)},
title = {Sequential methodology for signaling business cycle turning points},
type = {Kiel working paper},
url = {http://hdl.handle.net/10419/28356},
year = {2009}
}
