Spurious periodicities in cliometric series : simultaneous testing

Simple item page
dc.contributor.authorKufenko, Vadimde
dc.date.accessioned2024-04-08T08:52:20Z
dc.date.available2024-04-08T08:52:20Z
dc.date.created2016-03-09
dc.date.issued2016
dc.description.abstractIn this paper we revisit the methodological aspects of the issue of spurious cycles: using the well-established clinometric data, we apply an empirical strategy to identify spurious periodicities and cross-validate the results. The analysis of cyclical fluctuations involves numerous challenges, including data preparation and detrending. As a result, there is a risk of statistical artifacts to arise: it is known that summation operators and filtering yield a red noise alike spectral signature, amplifying lower frequencies and thus, longer periodicity, whereas detrending using differencing yields a blue noise alike spectral signature, amplifying higher frequencies and thus, shorter periodicity. In our paper we explicitly address this issue. In order to derive the stationary signals to be tested, we perform outlier adjustment, derive cycles from the series with the asymmetric band pass Christiano-Fitzgerald filter using the upper bands of the Kuznets and the Juglar cycles as cut-offs, and obtain detrended prefiltered signals by differencing the series in the absence of fractional integration. Afterwards, we simultaneously test whether the spectral densities of filtered and detrended prefiltered signals are significantly different from the spectral density of the related noise. The periodicities from the Kuznets range were not simultaneously significant, and thus are likely to be spurious; whereas ones of the Juglar and Kitchin ranges were simultaneously significant. The simultaneous significance test helps to identify spurious periodicities and the results, in general, accord with the durations of the business cycles found in other works.en
dc.identifier.swb45925023X
dc.identifier.urihttps://hohpublica.uni-hohenheim.de/handle/123456789/5993
dc.identifier.urnurn:nbn:de:bsz:100-opus-11858
dc.language.isoeng
dc.relation.ispartofseriesSchriftenreihe des Promotionsschwerpunkts Globalisierung und Beschäftigung; 48
dc.rights.licensepubl-ohne-poden
dc.rights.licensepubl-ohne-podde
dc.rights.urihttp://opus.uni-hohenheim.de/doku/lic_ubh.php
dc.subjectBusiness cyclesen
dc.subjectSpectral analysisen
dc.subjectSpurious cyclesen
dc.subjectFractional integrationen
dc.subjectSimultaneous testingen
dc.subject.ddc330
dc.subject.gndKonjunkturzyklusde
dc.titleSpurious periodicities in cliometric series : simultaneous testingde
dc.type.dcmiTextde
dc.type.diniWorkingPaperde
local.accessuneingeschränkter Zugriffen
local.accessuneingeschränkter Zugriffde
local.bibliographicCitation.publisherPlaceUniversität Hohenheimde
local.export.bibtex@techreport{Kufenko2016, url = {https://hohpublica.uni-hohenheim.de/handle/123456789/5993}, author = {Kufenko, Vadim}, title = {Spurious periodicities in cliometric series : simultaneous testing}, year = {2016}, school = {Universität Hohenheim}, series = {Schriftenreihe des Promotionsschwerpunkts Globalisierung und Beschäftigung}, }
local.export.bibtexAuthorKufenko, Vadim
local.export.bibtexKeyKufenko2016
local.export.bibtexType@techreport
local.faculty.number3de
local.institute.number520de
local.opus.number1185
local.series.issueNumber48
local.series.titleSchriftenreihe des Promotionsschwerpunkts Globalisierung und Beschäftigung
local.universityUniversität Hohenheimde
local.university.facultyFaculty of Business, Economics and Social Sciencesen
local.university.facultyFakultät Wirtschafts- und Sozialwissenschaftende
local.university.instituteInstitute for Economicsen
local.university.instituteInstitut für Volkswirtschaftslehrede

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
48_2016.pdf
Size:
732.35 KB
Format:
Adobe Portable Document Format
Description:
Open Access Fulltext
Download

Collections

Institut für Volkswirtschaftslehre
Schriftenreihe des Promotionsschwerpunkts Globalisierung und Beschäftigung