Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: Wiemann, T.
Author-Name-Last: Wiemann
Author-Name-First: Thomas
Title: Intertemporal Similarity of Economic Time Series
Abstract: This paper adapts the non-parametric Dynamic Time Warping (DTW) technique in an
 application to examine the temporal alignment and similarity across economic time series.
 DTW has important advantages over existing measures in economics as it alleviates concerns
 regarding a pre-defined fixed temporal alignment of series. For example, in contrast to current
 methods, DTW can capture alternations between leading and lagging relationships of series.
 We illustrate DTW in a study of US states’ business cycles around the Great Recession, and
 find considerable evidence that temporal alignments across states dynamic. Trough cluster
 analysis, we further document state-varying recoveries from the recession.
Length: 28
Creation-Date: 2018-08-01
File-URL: https://repub.eur.nl/pub/109916/EI2018-30.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI2018-30
Classification-JEL: C14, C50, C55, C87, E32
Keywords: Business cycles, Non-parametric method, Dynamic Time Warping
Handle: RePEc:ems:eureir:109916