Description Usage Arguments Details Value Author(s) References See Also Examples
Computes a business cycle indicator using multivariate singular spectrum analysis.
1 | bmssa(y, l = 32)
|
y |
multivariate time series of economic activity data from which the cycle is to be extracted; the first column is reserved to Gross Domestic Product (GDP). |
l |
window length; by default, |
The business cycle indicator produced using this routine is based on
methods proposed in de Carvalho and Rua (2017). A quick summary of the
method is as follows. Multivariate singular spectrum analysis is used
to decompose a multivariate time series (y
) into principal
components, and a Fisher g statistic automatically selects
elementary reconstructed components (erc
) within business cycle
frequencies. The indicator results from adding elementary
reconstructed components within business cycle frequencies. The
plot
method depicts the resulting business cycle indicator,
and the print
method reports the business cycle indicator
along with the components selected by the Fisher g statistic.
cycle |
time series with the business cycle indicator. |
sfisher |
vector with indices of elementary reconstructed components selected with Fisher g statistic; see details. |
erc |
time series with elementary reconstructed components resulting from targeted grouping based on a Fisher g statistic. |
l |
window length. |
Miguel de Carvalho.
de Carvalho, M., Rodrigues, P., and Rua, A. (2012). Tracking the US business cycle with a singular spectrum analysis. Economics Letters, 114, 32–35.
de Carvalho, M. and Rua, A. (2017). Real-time nowcasting the US output gap: Singular spectrum analysis at work. International Journal of Forecasting, 33, 185–198.
See combplot
for a chart of the selected elementary
reconstructed components from which the business cycle indicator
results. See bssa
for a univariate version of the
method.
1 2 3 4 5 |
## ============================================== ##
## ASSA 1.0 ##
## ---------------------------------------------- ##
## Copyright (C) 2018 ##
## M. de Carvalho and G. Martos ##
## ============================================== ##
Multivariate Singular Spectrum Business Cycle Analysis:
=======================================================
bmssa.default(y = log(GDPIP))
Business cycle indicator:
Qtr1 Qtr2 Qtr3 Qtr4
1947 2.742412e-02 1.705246e-02 7.760043e-03 1.145208e-02
1948 1.597276e-02 2.040116e-02 1.580535e-02 1.830399e-03
1949 -1.725342e-02 -3.566467e-02 -4.566751e-02 -4.739674e-02
1950 -3.430208e-02 -1.780555e-02 -1.032786e-03 1.051441e-02
1951 1.635639e-02 1.974040e-02 1.841395e-02 1.243837e-02
1952 6.561890e-03 3.224021e-03 7.656988e-03 1.839944e-02
1953 2.584343e-02 2.486638e-02 1.119881e-02 -8.140644e-03
1954 -2.505351e-02 -3.238300e-02 -2.781998e-02 -1.526528e-02
1955 2.023539e-03 1.378122e-02 1.983820e-02 1.844944e-02
1956 1.188190e-02 9.020076e-03 8.754417e-03 1.346107e-02
1957 1.691452e-02 1.419991e-02 4.822631e-03 -1.136645e-02
1958 -2.702823e-02 -3.252326e-02 -2.507844e-02 -9.745091e-03
1959 3.816267e-03 1.347500e-02 1.541488e-02 1.425629e-02
1960 1.265626e-02 3.793854e-03 -5.998590e-03 -1.678777e-02
1961 -2.156424e-02 -1.795632e-02 -1.114704e-02 -1.839953e-03
1962 3.996746e-03 4.821957e-03 2.134860e-05 -5.456704e-03
1963 -8.268719e-03 -8.485101e-03 -7.183696e-03 -5.338387e-03
1964 -4.053120e-03 -4.122270e-03 -6.967087e-03 -8.960068e-03
1965 -6.423259e-03 -1.699676e-03 6.432837e-03 1.347414e-02
1966 1.994697e-02 2.015764e-02 1.592724e-02 1.006956e-02
1967 3.924476e-03 -2.439379e-04 -1.992681e-03 -9.606185e-05
1968 4.099517e-03 8.609712e-03 1.108470e-02 1.310607e-02
1969 1.354393e-02 1.135852e-02 5.791746e-03 -1.622289e-03
1970 -9.932860e-03 -1.733059e-02 -2.132931e-02 -2.397489e-02
1971 -2.098280e-02 -1.950931e-02 -1.717677e-02 -1.389616e-02
1972 -7.034860e-03 2.160039e-03 1.170607e-02 2.242648e-02
1973 3.064803e-02 3.517407e-02 3.292914e-02 2.876290e-02
1974 2.058071e-02 9.931546e-03 -4.449781e-03 -1.902824e-02
1975 -3.078448e-02 -3.409909e-02 -2.980577e-02 -2.299550e-02
1976 -1.528633e-02 -1.248882e-02 -1.106625e-02 -1.184102e-02
1977 -1.025663e-02 -6.300032e-03 -2.462480e-03 1.743166e-03
1978 6.078264e-03 1.547727e-02 2.243359e-02 2.803014e-02
1979 2.887078e-02 2.773963e-02 2.449316e-02 1.757061e-02
1980 9.116864e-03 -1.322784e-05 -2.707081e-03 1.321882e-03
1981 7.821218e-03 9.892662e-03 6.872132e-03 -3.921361e-03
1982 -1.768041e-02 -3.005296e-02 -3.813372e-02 -3.912190e-02
1983 -3.420801e-02 -2.409726e-02 -1.220335e-02 -6.015489e-04
1984 7.406218e-03 1.216934e-02 1.303441e-02 1.078125e-02
1985 8.767591e-03 7.178688e-03 7.457733e-03 6.834908e-03
1986 5.424217e-03 1.755083e-03 -1.667676e-03 -4.480534e-03
1987 -5.381223e-03 -4.250377e-03 -2.211300e-03 1.470373e-03
1988 3.734319e-03 6.189634e-03 7.638798e-03 1.003766e-02
1989 1.186362e-02 1.307835e-02 1.397351e-02 1.431402e-02
1990 1.461829e-02 1.192413e-02 6.215420e-03 -2.524931e-03
1991 -1.056397e-02 -1.505539e-02 -1.588935e-02 -1.424488e-02
1992 -1.038095e-02 -5.730765e-03 -2.607637e-03 -2.053806e-03
1993 -3.874275e-03 -5.519330e-03 -5.827866e-03 -4.048224e-03
1994 -9.664842e-04 2.769060e-03 4.187111e-03 3.253178e-03
1995 5.583124e-05 -3.715257e-03 -6.520004e-03 -7.988308e-03
1996 -8.116694e-03 -6.532381e-03 -5.108553e-03 -3.898909e-03
1997 -2.840759e-03 -1.686882e-03 -4.411456e-04 -2.936074e-04
1998 -6.774625e-05 5.919230e-04 2.800158e-03 5.016527e-03
1999 6.707296e-03 8.416178e-03 1.083254e-02 1.454991e-02
2000 1.743869e-02 1.959411e-02 1.793724e-02 1.338337e-02
2001 5.907206e-03 -1.362271e-03 -7.060555e-03 -1.017854e-02
2002 -1.131760e-02 -1.234890e-02 -1.426000e-02 -1.689653e-02
2003 -1.736074e-02 -1.587258e-02 -1.152943e-02 -7.336612e-03
2004 -4.363629e-03 -2.744482e-03 -1.403296e-03 6.977306e-04
2005 3.379309e-03 6.053846e-03 8.218457e-03 1.095303e-02
2006 1.324882e-02 1.311552e-02 1.242925e-02 1.228072e-02
2007 1.337900e-02 1.567371e-02 1.760861e-02 1.834691e-02
2008 1.646582e-02 1.032296e-02 -8.855456e-04 -1.565013e-02
2009 -2.874387e-02 -3.548657e-02 -3.421342e-02 -2.840932e-02
2010 -2.061068e-02 -1.306538e-02 -7.994113e-03 -5.784753e-03
2011 -5.326699e-03 -3.374984e-03 9.864161e-04 6.867724e-03
2012 1.218246e-02 1.562852e-02 1.635574e-02 1.513985e-02
2013 1.488372e-02 1.746131e-02 2.233954e-02 2.659864e-02
Principal components selected by the Fisher g statistic
[1] 4 5 6 7 8 9 11 12 13 20 22 23 24 29 33 34 40 41
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