Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/28356 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Kiel Working Paper No. 1528
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
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.
Schlagwörter: 
Business cycle
CUSUM control chart
Dynamic Factor Markov switching models
Early signaling
NBER dating
JEL: 
C44
C50
E32
Dokumentart: 
Working Paper

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