Almost Periodically Correlated Time Series in Business Fluctuations Analysis |
| Ł. Lenarta, b and M. Pipieńa, c
aEconomic Institute in National Bank of Poland, Świętokrzyska 11/21, 00-919 Warszawa, Poland bDepartment of Mathematics in Cracow University of Economics, Rakowicka 27, 31-510 Kraków, Poland cDepartment of Econometrics and Operations Research in Cracow University of Economics, Rakowicka 27, 31-510 Kraków, Poland |
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| We propose a non-standard subsampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising fluctuations of economic growth. We show that some characteristics of business cycle can be modelled in a non-parametric way by discrete spectrum of the almost periodically correlated time series. On the basis of estimated characteristics of this spectrum business cycle is extracted by filtering. As an illustration we characterise the main properties of business cycles in industrial production index for Polish economy. |
DOI: 10.12693/APhysPolA.123.567 PACS numbers: 89.65.Gh, 05.10.Gg |