Seite - 124 - in The Austrian Business Cycle in the European Context

124 filtered reference series differ from BK-filtered data. This automati- cally leads to differences in statistics relying on the detected turn- ing points. This concerns the calculation of leads and lags and sta- tistics indicating the lengths of cycles and phases, as well as all their averages and medians. Compared with first-order-filtered data, the transformation of HP-filtered data by the dynamic factor model also changed the turning point calendar, but this time not as much. Obviously, the inclusion of non-superimposed high- frequency data reduced this problem somewhat. The use of band-pass-BK-filtered data turned all series to highest cross-correlation among each other. If the business cycle is de- fined as the common component reflected in the reference se- ries, this result holds, too. This supports the view that the Austrian gross value added is capable of serving as a reference series. The fact that the highest cross-correlations are observed for BK-filtered data indicates that frequencies outside the business cycle band are cross-correlated to a lesser extent than frequencies within it. This is the case here, although cross-correlations only improve modestly compared with HP-filtered ones.