Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/28356
Authors: 
Golosnoy, Vasyl
Hogrefe, Jens
Year of Publication: 
2009
Series/Report no.: 
Kiel working paper 1528
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

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