[R-SIG-Finance] Bry/Boschan routine for timing Business Cycle turning points

mat matthieu.stigler at gmail.com
Wed Jan 13 10:18:28 CET 2010


Dear Thomas

A collegue of mine had used the Bry/Boschan procedure implemented in 
GROCER and used a small wrapper to call it within R. The code is quite 
crude and might need some modifications but we can send it to you if you 
want.

Best

Matthieu Stigler


Otziger Simon (otis) a écrit :
> Dear Thomas,
>
> Brian is referring to the "signalextraction" package. This package features the univariate case of Marc's Direct Filter Approach (DFA). The multivariate DFA is the core of a fast and reliable real-time recession indicator for the USA named USRI: http://cancun.zhaw.ch/cirano/
>
> Marc compares the USRI to various other competitors, e.g. ADS, CFNAI, Markov switching, OECD, conference board, ... The latest comparison is available at his Blog: http://blog.zhaw.ch/idp/sefblog/index.php?/archives/42-USRI-September-2009-Data-up-to-end-September.html
>
> Further, for financial application using this indicator please have a look at http://blog.zhaw.ch/idp/sefblog/index.php?/archives/45-Fast-Real-Time-Recession-Indicator-USRI-and-Fundamental-Financial-Trading.html and http://blog.zhaw.ch/idp/sefblog/index.php?/archives/46-On-the-Importance-of-Fast-but-not-too-Fast-Real-Time-Recession-Indicators-in-the-Context-of-Financial-Trading.html
>
>
> HTH,
> Simon
>
> On Jan 12, 2010, at 7:39 PM, Thomas Etheber wrote:
>
>   
>> Dear Users,
>>
>> may I ask the same question as Pierre in the r-help (http://tolstoy.newcastle.edu.au/R/help/05/05/4753.html) group a few years later...
>>
>>
>>     
>> Does anyone of you know if someone has programmed the Bry & Boschan routines in R? It's also known as the NBER method for identifying economic cycles peaks and troughs. Or do you know any method in R for indentifying peaks and troughs for times series. 
>> <<<
>>
>> I already asked google without success.
>>
>> Regards,
>> Thomas
>>
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