JSM 2005 - Toronto

Abstract #303147

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 360
Type: Contributed
Date/Time: Wednesday, August 10, 2005 : 8:30 AM to 10:20 AM
Sponsor: Business and Economics Statistics Section
Abstract - #303147
Title: Economic Phases via Velocity and Acceleration of GDP
Author(s): Stanley L. Sclove*+
Companies: University of Illinois, Chicago
Address: 1080 Hillcrest Road, Glencoe, IL, 60022-1216, United States
Keywords: macroeconomics ; cluster analysis ; hidden Markov model ; bivariate time series
Abstract:

Quarterly GDP over several decades is studied. The first difference of log quarterly GDP (the continuous growth rate) is considered as a velocity of the economy; the second difference as an acceleration. These two are analyzed as a bivariate time series. Using a hidden Markov model, the series is segmented into four states that may be considered as recession, recovery, expansion, and contraction. This segmentation is compared with the time-line of various historical events. The statistical characteristics obtained by the segmentation into these four phases are compared with conventional notions about them.

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Revised March 2005