A comparison of two business cycle dating methods
We study the suggestion that Markov switching (MS) models should be used to determine cyclical turning points. A Kalman filter approximation is used to derive the dating rules implicit in such models. We compare these with dating rules in an algorithm that provides a good approximation to the chronology determined by the NBER. We find that there is very little that is attractive in the MS approach when compared with this algorithm. The most important difference relates to robustness. The MS approach depends on the validity of that statistical model. Our approach is valid in a wider range of circumstances.
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|Item Type:||Journal Article|
|Keywords:||Business cycle, Markov switching, NBER dates, Dating rules, Turning points|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > Economic Theory (140100)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2003 Elsevier|
|Deposited On:||09 Apr 2010 04:09|
|Last Modified:||29 Feb 2012 13:19|
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