Page - XII - in The Austrian Business Cycle in the European Context

XII 5.2 Frequency domain statistics for analysing comovements 56 5.2.1 Coherence 57 5.2.2 Phase spectra and mean delay 58 5.2.3 Dynamic correlation 58 5.2.4 Cohesion 59 6. Dating the business cycle 61 6.1 The expert approaches 63 6.2 The Bry-Boschan routine 65 6.3 Hidden Markovian-switching processes 67 6.4 Threshold autoregressive models 69 7. Analysis of turning points 71 7.1 Mean and average leads and lags 71 7.2 Contingency tab/es for turning points 72 7.3 The intrinsic lead and lag classification of dynamic factor models 74 7.4 Concordance indicator 74 7.5 Standard deviation of the cycle 75 7.6 Mean absolute deviation 76 7.7 Triangle approximation 76 8. Results 79 8.1 Isolation of business cycle frequencies 79 8.1.1 First-order differences 79 8.1.2 The HP filter 80 8.1.3 The BK filter 80 8.2 Determination of the reference business cycle 85 8.2.1 Ad-hoc selection of the business cycle reference series 86 8.2.2 Determination of the business cycle by a dynamic factor model approach 97