Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/28356 
Year of Publication: 
2009
Series/Report no.: 
Kiel Working Paper No. 1528
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
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.
Subjects: 
Business cycle
CUSUM control chart
Dynamic Factor Markov switching models
Early signaling
NBER dating
JEL: 
C44
C50
E32
Document Type: 
Working Paper

Files in This Item:
File
Size
316.71 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.