Description Usage Arguments Details Value Author(s) References See Also Examples
Computes a business cycle indicator using singular spectrum analysis.
1 | bssa(y, l = 32)
|
y |
time series of economic activity data from which the cycle is to be extracted. |
l |
window length; by default, |
The business cycle indicator produced using this routine is based on
methods proposed in de Carvalho et al (2012) and de Carvalho and Rua
(2017). A quick summary of the method is as follows: Singular
spectrum analysis is used to decompose a GDP 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 principal 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 principal 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 bmssa
for a multivariate version of the
method.
1 2 3 4 5 |
## ============================================== ##
## ASSA 1.0 ##
## ---------------------------------------------- ##
## Copyright (C) 2018 ##
## M. de Carvalho and G. Martos ##
## ============================================== ##
Singular Spectrum Business Cycle Analysis:
==========================================
bssa.default(y = log(GDPIP[, 1]))
Business cycle indicator:
Qtr1 Qtr2 Qtr3 Qtr4
1947 1.554288e-02 5.608885e-03 1.981290e-03 5.929933e-03
1948 1.183468e-02 1.451144e-02 9.698122e-03 -2.934166e-03
1949 -2.050815e-02 -3.686477e-02 -4.694418e-02 -4.809368e-02
1950 -3.832702e-02 -2.169488e-02 -3.132920e-03 1.200064e-02
1951 2.088902e-02 2.282218e-02 1.882552e-02 1.178704e-02
1952 6.498018e-03 6.538789e-03 1.295639e-02 2.262662e-02
1953 2.880704e-02 2.602349e-02 1.312687e-02 -5.593969e-03
1954 -2.242972e-02 -3.056578e-02 -2.716107e-02 -1.461554e-02
1955 1.625559e-03 1.405256e-02 1.872893e-02 1.611874e-02
1956 1.038416e-02 6.705517e-03 7.328220e-03 1.121800e-02
1957 1.373333e-02 1.060833e-02 6.659882e-04 -1.389873e-02
1958 -2.695652e-02 -3.169303e-02 -2.615352e-02 -1.330392e-02
1959 1.507732e-03 1.330981e-02 1.880255e-02 1.814801e-02
1960 1.256720e-02 3.068371e-03 -7.377966e-03 -1.572859e-02
1961 -1.884021e-02 -1.613981e-02 -9.515974e-03 -2.012047e-03
1962 3.133905e-03 4.019848e-03 9.792231e-04 -3.960354e-03
1963 -7.898353e-03 -9.086850e-03 -7.518766e-03 -4.961177e-03
1964 -3.106106e-03 -3.654688e-03 -6.108438e-03 -8.330907e-03
1965 -7.298422e-03 -2.229575e-03 6.099433e-03 1.479460e-02
1966 2.046867e-02 2.095289e-02 1.705482e-02 1.082682e-02
1967 4.577117e-03 5.551763e-05 -1.454158e-03 6.911446e-05
1968 3.957673e-03 8.485643e-03 1.210496e-02 1.401569e-02
1969 1.377241e-02 1.060382e-02 4.811162e-03 -2.786327e-03
1970 -1.038474e-02 -1.640511e-02 -2.007744e-02 -2.158642e-02
1971 -2.059466e-02 -1.871827e-02 -1.616360e-02 -1.248837e-02
1972 -6.599675e-03 1.576581e-03 1.120639e-02 2.131729e-02
1973 2.991276e-02 3.456190e-02 3.409153e-02 2.879381e-02
1974 1.872734e-02 5.454474e-03 -9.225011e-03 -2.227416e-02
1975 -3.090435e-02 -3.303291e-02 -2.942249e-02 -2.286168e-02
1976 -1.637063e-02 -1.242661e-02 -1.093847e-02 -1.033837e-02
1977 -8.966382e-03 -6.048834e-03 -1.906582e-03 3.093993e-03
1978 9.555691e-03 1.755788e-02 2.480381e-02 3.015971e-02
1979 3.241842e-02 3.109746e-02 2.612883e-02 1.800406e-02
1980 8.615125e-03 7.679112e-04 -1.915973e-03 1.006631e-03
1981 6.072686e-03 8.239626e-03 4.723848e-03 -5.653455e-03
1982 -2.004501e-02 -3.360385e-02 -4.268025e-02 -4.455674e-02
1983 -3.875377e-02 -2.735033e-02 -1.399894e-02 -1.943482e-03
1984 6.633733e-03 1.104533e-02 1.203887e-02 1.139201e-02
1985 1.072660e-02 1.063463e-02 1.076828e-02 1.003064e-02
1986 8.032045e-03 4.869072e-03 1.303420e-03 -1.938360e-03
1987 -3.893904e-03 -3.979668e-03 -2.355276e-03 3.801916e-04
1988 3.027548e-03 5.223631e-03 6.808078e-03 8.348318e-03
1989 1.004332e-02 1.198930e-02 1.392912e-02 1.509074e-02
1990 1.461577e-02 1.125466e-02 4.796540e-03 -3.589310e-03
1991 -1.135478e-02 -1.613140e-02 -1.706951e-02 -1.443581e-02
1992 -9.577274e-03 -4.707880e-03 -1.705277e-03 -1.295389e-03
1993 -2.886710e-03 -4.581393e-03 -4.726468e-03 -2.553792e-03
1994 1.032576e-03 4.442962e-03 5.919838e-03 4.836687e-03
1995 1.386424e-03 -2.978334e-03 -6.583769e-03 -8.459456e-03
1996 -8.366728e-03 -6.782908e-03 -5.077503e-03 -3.944329e-03
1997 -3.548520e-03 -3.425605e-03 -3.304537e-03 -2.871631e-03
1998 -1.839077e-03 -3.217540e-04 1.471795e-03 3.339168e-03
1999 5.257705e-03 7.786466e-03 1.129619e-02 1.527622e-02
2000 1.835635e-02 1.964968e-02 1.782251e-02 1.323392e-02
2001 6.936796e-03 6.746628e-04 -4.580642e-03 -8.182956e-03
2002 -1.051967e-02 -1.261301e-02 -1.486251e-02 -1.682569e-02
2003 -1.732109e-02 -1.556528e-02 -1.182576e-02 -7.515987e-03
2004 -3.903145e-03 -1.475499e-03 -1.021809e-04 8.716467e-04
2005 2.280652e-03 4.526355e-03 7.602747e-03 1.073727e-02
2006 1.300230e-02 1.291618e-02 1.159875e-02 1.043904e-02
2007 1.068880e-02 1.294337e-02 1.617224e-02 1.812252e-02
2008 1.639909e-02 9.864312e-03 -1.321350e-03 -1.478001e-02
2009 -2.636938e-02 -3.264083e-02 -3.239340e-02 -2.675809e-02
2010 -1.864904e-02 -1.102570e-02 -6.118116e-03 -4.239615e-03
2011 -4.026840e-03 -2.783366e-03 7.933413e-04 6.557145e-03
2012 1.216516e-02 1.525314e-02 1.523746e-02 1.279048e-02
2013 1.049569e-02 1.068693e-02 1.414140e-02 1.913012e-02
Principal components selected by the Fisher g statistic
[1] 3 4 5 6 7 8 9 10
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