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Models to date the business cycle: the Italian case

Bruno, Giancarlo and Otranto, Edoardo (2008) Models to date the business cycle: the Italian case. Economic Modelling, Vol. 25 (5), p. 899-911. ISSN 0264-9993. Article.

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DOI: 10.1016/j.econmod.2007.11.009

Abstract

The problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical methodologies, parametric and non-parametric. In general, these methods are not used in official dating, which is carried out by experts, who use their subjective evaluations of the state of economy. In this work we try to apply some statistical procedures to obtain an automatic dating of the Italian business cycle in the last 30 years, checking differences among various methodologies and with the ISAE chronology. The purpose of this exercise is to verify if purely statistical methods can reproduce the turning points detection proposed by economists, so that they could be fruitfully used in official dating. To this end parametric as well as non-parametric methods are employed. The analysis is carried out both aggregating results from single time series and directly in a multivariate framework. The different methods are also evaluated with respect to their ability to timely track (ex post) turning points.

Item Type:Article
ID Code:1367
Status:Published
Refereed:Yes
Uncontrolled Keywords:Business cycle, non-parametric methods, parametric methods, turning points
Subjects:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Divisions:001 Università di Sassari > 01 Dipartimenti > Economia, impresa, regolamentazione
Publisher:Elsevier Science
ISSN:0264-9993
Additional Information:Pubblicato online il 24 gennaio 2008.
Deposited On:18 Aug 2009 10:04

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