Singular spectrum analysis helpful when assessing output gaps, study finds
Paper analyses methods for nowcasting the US output gap
Singular spectrum analysis can help provide a "reliable evaluation" of the cyclical position of the US economy in real-time, according to a working paper published by the Bank of Portugal.
In Real-time nowcasting the US output gap: Singular spectrum analysis at work, Miguel de Carvalho and António Rua explore "the performance of singular spectrum analysis-based methods for nowcasting in real-time the US output gap", saying the two-channel approach "considerably" outperforms its univariate
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