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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