Menu Expand

Classification and Clustering in Business Cycle Analysis

Cite BOOK

Style

Heilemann, U., Weihs, C. (Eds.) (2007). Classification and Clustering in Business Cycle Analysis. Duncker & Humblot. https://doi.org/10.3790/978-3-428-52425-9
Heilemann, Ullrich and Weihs, Claus. Classification and Clustering in Business Cycle Analysis. Duncker & Humblot, 2007. Book. https://doi.org/10.3790/978-3-428-52425-9
Heilemann, U, Weihs, C (eds.) (2007): Classification and Clustering in Business Cycle Analysis, Duncker & Humblot, [online] https://doi.org/10.3790/978-3-428-52425-9

Format

Classification and Clustering in Business Cycle Analysis

Editors: Heilemann, Ullrich | Weihs, Claus

Schriften des Rheinisch-Westfälischen Instituts für Wirtschaftsforschung, Vol. 79

(2007)

Additional Information

Book Details

Abstract

The analysis of cyclical macroeconomic phenomena is an important field of econometric research. In the recent past, research interests have de-emphasized quantitative forecasting exercises and have addressed the qualitative diagnosis of the relative stance of the economy regarding »upswing«, »recession«, or »boom« periods, i. e. the classification of the state of the economy into a limited number of discrete states. In this context the principal challenge is to reduce the multifaceted and sometimes abundant quantitative information about the business cycle to such qualitative statements in an efficient way. For more than six years this task was the focus of the project »Multivariate determination and analysis of business cycles« within the SFB 475 »Reduction of complexity in multivariate data structures«, funded by the German Research Foundation (DFG).

The necessity for complexity reduction is, of course, not unique to business cycle analysis but is studied in many fields and in a number of ways. This broad interest in the reduction of problem dimensionality and in the appropriate combination of data and of theory caused the RWI Essen and the Statistical Department of the University of Dortmund in January 2002 to hold a workshop at the RWI Essen where the findings of this and similar projects were presented and discussed. The present publication collects revised versions of the papers presented at this workshop. Although the workshop took place some five years ago, these papers mark an importent juncture in the development of business cycle research.

Table of Contents

Section Title Page Action Price
Preface 5
Contents 7
Ullrich Heilemann and Claus Weihs: Introductio 9
References 17
Victor Zarnowitz: Phases and Stages of Recent U.S. Business Cycles 19
1. Introductio 19
2. Growth Cycles and Business Cycles 20
3. Stages of Expansion and Contractio 22
4. Applicability to U.S. Postwar Expansions 26
5. Applicability to U.S. Postwar Contractions 29
6. An Extension to the Last Recessio 30
7. Conclusio 31
References 31
Ullrich Heilemann and Heinz Josef Münch: The U.S. Business Cycle and its Phases 1948–2000 33
1. Introductio 33
2. Re-examining Meyer/Weinberg 35
3. Stability of Meyer/Weinberg’s Results 42
3.1 A Four-phase Classification for 1973 to 2000 43
3.2 New Sample Performance of the M/W Scheme 43
3.3 Outside Sample Performance 45
3.4 Stability of the M/W-Scheme in the New Sample 45
4. Summary and Conclusions 46
References 48
Appendix: Linear Discriminant Analysis 49
Claus Weihs and Ursula Garczarek: Stability of Multivariate Representation of Business Cycles over Time 55
1. Introductio 55
2. Data 56
3. Classification of Business Cycle Phases 56
4. Classification Methods and Classification Rules 57
5. Double Leave-one-cycle-out Cross Validatio 58
6. Classification Results and Resulting Models 59
6.1 Linear Discriminant Analysis 59
6.2 Quadratic Discriminant Analysis 62
6.3 Continuous RAKE-Method 64
6.4 Comparison of Classification Rules 66
7. Economic Implications 66
8. Conclusio 67
References 67
Marlene Amstad und Bernd Schips: Wachstumsfluktuationen, Zykluskonzepte und konjunkturelle Wendepunkte 69
1. Einleitung 69
2. Die Erfassung des latenten Phänomens „Konjunktur“ 70
2.1 Bemerkungen zur Datenlage 70
2.2 Bemerkungen zur Saisonbereinigung 72
3. Alternative Zykluskonzepte zur Erfassung von Wachstumsfluktuatione 72
3.1 Das klassische Zykluskonzept 72
3.2 Das Wachstumszykluskonzept 73
4. Aspekte verschiedener Trendbereinigungsverfahre 74
5. Beispiele zur unterschiedlichen Wendepunktdatierung 76
6. Zykluskonzept und Erklärungsansätze 78
7. Fazit 79
Literatu 79
Anhang: Fragebogen der Monatsumfrage in der Industrie 80
Bernd Lucke und Malte Knüppel: Unternehmensgrößenklassen im ifo-Konjunkturtest: eine Burns-Mitchell-Analyse 83
1. Einleitung 83
2. Burns-Mitchell-Methodologie 84
3. Bestimmung der Referenzzykle 87
4. Geschäftsklimadaten nach Unternehmensgrößenklasse 94
5. Beschäftigungseffekte 101
6. Schlussbemerkunge 103
Literatu 104
Anhang 104
Katharina Morik and Stefan Rüping: An Inductive Logic Programming Approach to the Classification of Phases in Business Cycles 107
1. Introductio 107
2. Inductive Logic Programming 110
2.1 MOBAL 112
2.1.1 The Rule Discovery Tool RDT 112
2.1.2 Rule Inspectio 113
2.1.3 Knowledge Revisio 114
3. Experiments on German Business Cycle Data 114
3.1 Discretizatio 115
3.2 Modeling Four Phases Without Time Intervals 116
3.3 Modeling Four Phases with Time Intervals 118
3.4 Modeling Two Phases 121
3.5 Concept Shift 122
4. Conclusion and Further Work 123
References 124
Ursula Garczarek and Claus Weihs: Univariate Characterization of the German Business Cycle 1955–1994 127
1. Introductio 127
2. Analysis of the Course of the Economic Variables in the Business Cycle 128
3. Independence of Economic Variables 131
4. Univariate Rule Finding 131
5. Ranges Corresponding to Phases 135
6. Conclusio 136
References 136
Claudia Becker and Winfried Theis: Combining Dimension Reduction and Fuzzy-clustering: An Application to Business Cycles 137
1. Introductio 137
2. Dimension Reduction and Clustering 138
2.1 Sliced Inverse Regressio 138
2.2 Fuzzy-clustering 139
3. Results 140
4. Conclusio 143
References 143
Gabriela Guimarães: Self-organizing Maps for Time Series Analysis 145
1. Introductio 145
2. The Basic SOM-Algorithm 146
3. Temporal Sequence Processing without Modifying the Basic SOM-Algorithm 147
4. Modifying the Activation/Learning Rule 149
5. Modification of the Network Topology 151
6. Conclusions 153
References 153
Victor Zarnowitz: Modern Trends and Their Effects on International Business Cycles 157
1. Globalization, New Information Age, and Monetary Regimes 157
2. Business Cycles under the Gold Standard before World War I 158
3. The Interwar Period: 1919–1939 160
4. The Post-World War II Era 162
References 164
List of Authors 165