Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/59711
Authors: 
Groth, Andreas
Ghil, Michael
Hallegatte, Stéphane
Dumas, Patrice
Year of Publication: 
2012
Series/Report no.: 
Nota di lavoro, Fondazione Eni Enrico Mattei: Economy and Society 26.2012
Abstract: 
We apply the advanced time-and-frequency-domain method of singular spectrum analysis to study business cycle dynamics in a set of nine U.S. macroeconomic indicators. This method provides a robust way to identify and reconstruct shared oscillations, whether intermittent or modulated. We address the problem of spurious cycles generated by the use of detrending filters and present a Monte Carlo test to extract significant oscillations. Finally, we demonstrate that the behavior of the U.S. economy changes significantly between episodes of growth and recession; these variations cannot be generated by random shocks alone, in the absence of endogenous variability.
Subjects: 
Advanced Spectral Methods
Comovements
Frequency Domain
Monte Carlo testing
Time Domain
JEL: 
C15
C60
E32
Document Type: 
Working Paper

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