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Measuring business cycles with business-cycle models

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  • Gregory, Allan W.
  • Smith, Gregor W.

Abstract

Business cycles may be defined or measured by parametrizing detrending filters to maximize the ability of a business-cycle model to match the moments of the remaining cycles. Thus a theory can be used to guide cycle measurement. We present two applications to U.S. postwar data. In the first application the cycles are measured with a standard, real business cycle model. In the second, they are measured using information on capacity utilization and unemployment rates. Simulation methods are used to describe the properties of the GMM estimators and to allow exact inference.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 20 (1996)
Issue (Month): 6-7 ()
Pages: 1007-1025

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Handle: RePEc:eee:dyncon:v:20:y:1996:i:6-7:p:1007-1025

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Web page: http://www.elsevier.com/locate/jedc

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Cited by:
  1. Gorodnichenko, Yuriy & Ng, Serena, 2010. "Estimation of DSGE models when the data are persistent," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 325-340, April.
  2. Butler, L, 1996. "The Bank of Canada's New Quarterly Porjection Model Part 4 : A Semi- Structural Method to Estimate Potential Output : Combining Economic Theory with a Time-Series Filter," Technical Reports 77, Bank of Canada.
  3. Klaus Reiner Schenk-Hoppé, . "Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series (Revised Version)," IEW - Working Papers 054, Institute for Empirical Research in Economics - University of Zurich.

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