TY - JOUR

T1 - Applying spline-based phase analysis to macroeconomic dynamics

AU - Гадасина, Людмила Викторовна

AU - Вьюненко, Людмила Федоровна

N1 - Publisher Copyright: © 2022 Gadasina Lyudmila and Vyunenko Lyudmila, published by De Gruyter.

PY - 2022

Y1 - 2022

N2 - The article uses spline-based phase analysis to study the dynamics of a time series of low-frequency data on the values of a certain economic indicator. The approach includes two stages. At the first stage, the original series is approximated by a smooth twice-differentiable function. Natural cubic splines are used as an approximating function y y. Such splines have the smallest curvature over the observation interval compared to other possible functions that satisfy the choice criterion. At the second stage, a phase trajectory is constructed in (t, y, y ′) -space, corresponding to the original time series, and a phase shadow as a projection of the phase trajectory onto the (y, y ′) -plane. The approach is applied to the values of GDP indicators for the G7 countries. The interrelation between phase shadow loops and cycles of economic indicators evolution is shown. The study also discusses the features, limitations and prospects for the use of spline-based phase analysis.

AB - The article uses spline-based phase analysis to study the dynamics of a time series of low-frequency data on the values of a certain economic indicator. The approach includes two stages. At the first stage, the original series is approximated by a smooth twice-differentiable function. Natural cubic splines are used as an approximating function y y. Such splines have the smallest curvature over the observation interval compared to other possible functions that satisfy the choice criterion. At the second stage, a phase trajectory is constructed in (t, y, y ′) -space, corresponding to the original time series, and a phase shadow as a projection of the phase trajectory onto the (y, y ′) -plane. The approach is applied to the values of GDP indicators for the G7 countries. The interrelation between phase shadow loops and cycles of economic indicators evolution is shown. The study also discusses the features, limitations and prospects for the use of spline-based phase analysis.

KW - cubic spline

KW - dynamic system

KW - phase shadow

KW - phase trajectory

UR - https://www.degruyter.com/document/doi/10.1515/demo-2022-0113/html

UR - http://www.scopus.com/inward/record.url?scp=85132314846&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/b0ad29e2-597b-3d21-bc0d-fa3ca260359c/

U2 - 10.1515/demo-2022-0113

DO - 10.1515/demo-2022-0113

M3 - Article

VL - 10

SP - 207

EP - 214

JO - Dependence Modeling

JF - Dependence Modeling

SN - 2300-2298

IS - 1

ER -