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

[Thomas Etheber]

Dear Matthieu,

I do not know GROCER, but if you (or the code) can guide me through the 
connection to the R interface/wrapper, I would highly appreciate to 
receive your code.
It might be usefull at least as a benchmark for own implementations.

Btw, thank you all for the helpful comments.

Best
Thomas


mat schrieb:
> 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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>>
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>