Circulant Singular Spectrum Analysis to monitor the state of the economy in real time.
Real-time monitoring of the economy is based on activity indicators that show regular patterns such as trends, seasonality and business cycles. However, parametric and non-parametric methods for signal extraction produce revisions at the end of the sample, and the arrival of new data makes it diffic...
| Autores: | , , |
|---|---|
| Tipo de recurso: | artículo |
| Fecha de publicación: | 2021 |
| País: | España |
| Institución: | Universidad de Alcalá (UAH) |
| Repositorio: | e_Buah Biblioteca Digital Universidad de Alcalá |
| Idioma: | inglés |
| OAI Identifier: | oai:ebuah.uah.es:10017/60256 |
| Acceso en línea: | http://hdl.handle.net/10017/60256 https://dx.doi.org/10.3390/math9111169 |
| Access Level: | acceso abierto |
| Palabra clave: | ARIMA Business cycle CiSSA Revision Economía Economics |
| Sumario: | Real-time monitoring of the economy is based on activity indicators that show regular patterns such as trends, seasonality and business cycles. However, parametric and non-parametric methods for signal extraction produce revisions at the end of the sample, and the arrival of new data makes it difficult to assess the state of the economy. In this paper, we compare two signal extraction procedures: Circulant Singular Spectral Analysis, CiSSA, a non-parametric technique in which we can extract components associated with desired frequencies, and a parametric method based on ARIMA modelling. Through a set of simulations, we show that the magnitude of the revisions produced by CiSSA converges to zero quicker, and it is smaller than that of the alternative procedure. |
|---|