Almost Periodically Correlated Time Series in Business Fluctuations Analysis

We propose a non-standard subsampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising fluctuations of economic growth. We show that some characteristics of business cycle can be modelled in a non-parametric way by discrete spectrum of the Almost Periodically Correlated (APC) time series. On the basis of estimated characteristics of this spectrum business cycle is extracted by filtering. As an illustration we characterise the man properties of business cycles in industrial production index for Polish economy.