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Title:Nonparametric regression and the detection of turning points in the Ifo business climate PDF Logo
Authors:Abberger, Klaus
Issue Date:2004
Series/Report no.:CESifo working papers 1283
Abstract:Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial regression. A change in the sign of the slope can be interpreted as a turning point. A plug-in method is used for data-based bandwidth choice. Since in practice the identification of turning points at the actual boundary of the time series is of special interest, this situation is discussed in more detail. The nonparametric approach is applied to the Ifo Business Climate to demonstrate the application of the nonparametric approach and to analyze the time lead of the indicator.
Subjects:Nonparametric regression
slope estimation
turning points
business climate indicators
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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