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Dating and predicting phase changes in the U.S. business cycle

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  • Layton, Allan P.

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  • Layton, Allan P., 1996. "Dating and predicting phase changes in the U.S. business cycle," International Journal of Forecasting, Elsevier, vol. 12(3), pages 417-428, September.
    • Handle: RePEc:eee:intfor:v:12:y:1996:i:3:p:417-428
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    1. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
    2. Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters, in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1, National Bureau of Economic Research, Inc.
    3. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    4. Kenneth M. Emery & Evan F. Koenig, 1991. "Misleading indicators? Using the composite leading indicators to predict cyclical turning points," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Jul, pages 1-14.
    5. Hamilton, James D, 1991. "A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 27-39, January.
    6. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, July.
    7. Neftici, Salih N., 1982. "Optimal prediction of cyclical downturns," Journal of Economic Dynamics and Control, Elsevier, vol. 4(1), pages 225-241, November.
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    Cited by:

    1. Layton, Allan P. & Katsuura, Masaki, 2001. "Comparison of regime switching, probit and logit models in dating and forecasting US business cycles," International Journal of Forecasting, Elsevier, vol. 17(3), pages 403-417.
    2. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro," Documents de travail du Centre d'Economie de la Sorbonne 09053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Ivanova, Detelina & Lahiri, Kajal & Seitz, Franz, 2000. "Interest rate spreads as predictors of German inflation and business cycles," International Journal of Forecasting, Elsevier, vol. 16(1), pages 39-58.
    4. Chauvet, Marcelle & Piger, Jeremy, 2008. "A Comparison of the Real-Time Performance of Business Cycle Dating Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 42-49, January.
    5. Sarantis, Nicholas, 2001. "Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence," International Journal of Forecasting, Elsevier, vol. 17(3), pages 459-482.
    6. Allan P. Layton, 1997. "Do Leading Indicators Really Predict Australian Business Cycle Turning Points?," The Economic Record, The Economic Society of Australia, vol. 73(222), pages 258-269, September.
    7. Olivier Darné & Laurent Ferrara, 2011. "Identification of Slowdowns and Accelerations for the Euro Area Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(3), pages 335-364, June.
    8. Layton, Allan P., 1998. "A further test of the influence of leading indicators on the probability of US business cycle phase shifts," International Journal of Forecasting, Elsevier, vol. 14(1), pages 63-70, March.
    9. Marcelle Chauvet & Jeremy M. Piger, 2003. "Identifying business cycle turning points in real time," Review, Federal Reserve Bank of St. Louis, vol. 85(Mar), pages 47-61.
    10. Lars-Erik Öller & Lasse Koskinen, 2004. "A classifying procedure for signalling turning points," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 197-214.
    11. Yushu Li & Simon Reese, 2014. "Wavelet improvement in turning point detection using a hidden Markov model: from the aspects of cyclical identification and outlier correction," Computational Statistics, Springer, vol. 29(6), pages 1481-1496, December.
    12. Ken Nyholm, 2007. "A New Approach to Predicting Recessions," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(1), pages 27-42, February.
    13. Golosnoy, Vasyl & Hogrefe, Jens, 2009. "Sequential methodology for signaling business cycle turning points," Kiel Working Papers 1528, Kiel Institute for the World Economy (IfW Kiel).
    14. Kee Tuan Teng & Siew Hwa Yen & Soo Y. Chua, 2013. "The Synchronisation of ASEAN-5 Stock Markets with the Growth Rate Cycles of Selected Emerging and Developed Economies," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(1), pages 1-28, February.
    15. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    16. David Bock & Eva Andersson & Marianne Frisén, 2005. "Statistical surveillance of cyclical processes with application to turns in business cycles," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(7), pages 465-490.
    17. C. Colther & J. L. Rojo & R. Hornero, 2022. "A Wavelet Method for Detecting Turning Points in the Business Cycle," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 171-187, July.
    18. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
    19. Chen, Shyh-Wei, 2007. "Measuring business cycle turning points in Japan with the Markov Switching Panel model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 263-270.
    20. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
    21. E. Andersson, 2002. "Monitoring cyclical processes. A non-parametric approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(7), pages 973-990.
    22. Bock, David & Andersson, Eva & Frisén, Marianne, 2007. "Similarities and differences between statistical surveillance and certain decision rules in finance," Research Reports 2007:8, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
    23. Abdullah Tahir & Jameel Ahmed & Waqas Ahmed, 2018. "Robust Quarterization of GDP and Determination of Business Cycle Dates for IGC Partner Countries," SBP Working Paper Series 97, State Bank of Pakistan, Research Department.
    24. Tim Brailsford & Richard Heaney & John Powell & Jing Shi, 2000. "Hot and Cold IPO Markets: Identification Using a Regime Switching Model," Multinational Finance Journal, Multinational Finance Journal, vol. 4(1-2), pages 35-68, March-Jun.
    25. Allan Layton & Daniel Smith, 2000. "A further note on the three phases of the US business cycle," Applied Economics, Taylor & Francis Journals, vol. 32(9), pages 1133-1143.

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