ESTIMATING MULTI-COUNTRY PROSPERITY INDEX: A TWO-DIMENSIONAL SINGULAR SPECTRUM ANALYSIS APPROACH

作     者：ZHANG Jiawei HASSANI Hossein XIE Haibin ZHANG Xun (Corresponding author) 

作者机构：Institute of Systems Science Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100190 China. The Business School Bournemouth University 89 Holdenhurst Road BH88EB UK. Research Center of Applied Finance University of International Business and Economics Beijing 100029China. Institute oJ Systems Science Academy of Mathematics and Systems Science Chtnese Academy oJ SczencesBeijin9 100190 China. 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2014年第27卷第1期

页      面：56-74页

核心收录：

学科分类：0810[工学-信息与通信工程] 1205[管理学-图书情报与档案管理] 02[经济学] 0201[经济学-理论经济学] 020105[经济学-世界经济] 07[理学] 070104[理学-应用数学] 0811[工学-控制科学与工程] 0701[理学-数学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

基　　金：supported by the National Science Foundation of China under Grant No.71101142 Presidential Award of Chinese Academy of Sciences 

主　　题：2D-SSA business cycle analysis multi-country composite index singular spectrum anal-ysis. 

摘      要：With the development of the global economy, interaction among different economic entities from one region is intensifying, which makes it significant to consider such interaction when constructing composite index for each country from one region. Recent advances in signal extraction and time series analysis have made such consideration feasible and practical. Singular spectrum analysis （SSA） is a well-developed technique for time series analysis and proven to be a powerful tool for signal extraction. The present study aims to introduce the usage of the SSA technique for multi-country business cycle analysis. The multivariate SSA （MSSA） is employed to construct a model-based composite index and the two dimensional SSA （2D-SSA） is employed to establish the multi-country composite index. Empirical results performed on Chinese economy demonstrate the accuracy and stability of MSSA-based composite index, and the 2D-SSA based composite indices for Asian countries confirm the efficiency of the technique in capturing the interaction among different countries.