Standard deviation of cyclical component and correlation with cyclical
component of GDP for assorted macroeconomic series.
Usage
data("Hamilton_table_2")
Arguments
Format
A data.frame containing 13 economic time series observations of 5 variables.
cycle.sd Standard deviation of the cycle component, computed with function `yth_filter(x, output = "cycle")`
gdp.cor Correlation of `cycle.sd` with the cycle.sd of 100 * log(RealGDP)
random.sd Standard deviation of a Random-walk, computed by a rolling differencing the series by period `h`, the same passed to `yth_filter(x, output = "cycle")` to compute `cycle.sd`.
gdp.rand.cor Correlation of `random.sd` with the random.sd of 100 * log(RealGDP).
Notes
Filtered series were based on the full sample available for that variable,
while correlations were calculated using the subsample of overlapping values
for the two indicators. Note that the regression residuals lose the first 11
observations and the random-walk calculations lose the first 8 observations.