Journal of Business Cycle Measurement and Analysis
- Discontinued
- Is continued by :
- OECD Journal: Journal of Business Cycle Measurement and Analysis
The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.
- 3 times a year
- ISSN: 17293626 (online)
- https://doi.org/10.1787/17293626
Detection of the Industrial Business Cycle using SETAR Models
In this paper, we consider a threshold time series model in order to take into account certain stylized facts of the business cycle, such as asymmetries in the phases of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given in real-time. First, we introduce the various threshold models and we discuss both their statistical theoretical and empirical properties. Especially, we review the classical techniques to estimate the number of regimes, the threshold, the delay and the parameters of the model. Then we apply these models to the Euro-zone industrial production index to detect in real-time, trough a dynamic simulation approach, the dates of peaks and throughs in the business cycle.
- Click to access:
-
Click to download PDF - 354.45KBPDF