Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119314
Authors: 
Schober, Dominik
Woll, Oliver
Year of Publication: 
2015
Series/Report no.: 
ZEW Discussion Papers 15-067
Abstract: 
Cycles play an important role when analyzing market phenomena. In many markets, both overlaying (weekly, seasonal or business cycles) and time-varying cycles (e.g. asymmetric lengths of peak and off peak or variation of business cycle length) exist simultaneously. Identification of these market cycles is crucial and no standard detection procedure exists to disentangle them. We introduce and investigate an adaptation of an endogenous structural break test for detecting at the same time simultaneously overlaying as well as time-varying cycles. This is useful for growth or business cycle analysis as well as for analysis of complex strategic behavior and short-term dynamics.
Subjects: 
structural breaks
cluster analysis
filter
rolling regression
change points
model selection
cycles
economic dynamics
JEL: 
C22
C24
C29
O47
L50
Document Type: 
Working Paper

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