Disentangling Irregular Cycles in Economic Time Series

51 Pages Posted: 23 Sep 2015

See all articles by Dominik Schober

Dominik Schober

ZEW – Leibniz Centre for European Economic Research

Oliver Woll

ZEW – Leibniz Centre for European Economic Research - Competition and Regulation Research Group

Date Written: August 2015

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.

Keywords: structural breaks, cluster analysis, filter, rolling regression, change points, model selection, cycles, economic dynamics

JEL Classification: C22, C24, C29, O47, L50

Suggested Citation

Schober, Dominik and Woll, Oliver, Disentangling Irregular Cycles in Economic Time Series (August 2015). ZEW - Centre for European Economic Research Discussion Paper No. 15-067. Available at SSRN: https://ssrn.com/abstract=2663494 or http://dx.doi.org/10.2139/ssrn.2663494

Dominik Schober (Contact Author)

ZEW – Leibniz Centre for European Economic Research ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

Oliver Woll

ZEW – Leibniz Centre for European Economic Research - Competition and Regulation Research Group ( email )

L7,1
Mannheim, 68161
Germany

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