Marczak, Martyna; Gómez, Victor - Forschungszentrum Innovation und Dienstleistung, … - 2013
This article proposes a new multivariate method to construct business cycle indicators. The method is based on a decomposition into trend-cycle and irregular. To derive the cycle, a multivariate band-pass filter is applied to the estimated trend-cycle. The whole procedure is fully model-based....
