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On the Evolution of German Business Cycles 1958-2004 Results of a Dynamic Linear Discriminant Analysis

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  • Ullrich Heilemann

    ()
    (Institut für Empirische Wirtschaftsforschung (IEW), Universität Leipzig)

  • Roland Schuhr

    ()
    (Institut für Empirische Wirtschaftsforschung (IEW), Universität Leipzig)

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    Abstract

    This paper examines changes of the (West) German business cycle from 1958 to 2004. It starts with a multivariate linear discriminant analysis (LDA) based decomposition of the cycle into 4 phases (upswing, upper turning point, downswing, lower turning point). After examining intercyclical changes of the cycle, i.e. changes of the weights of the 12 macroeconomic variables employed for classification, the question of intra-cyclical changes is addressed. This is done by using DLDA, a new dynamic variant of LDA which exploits the time series character of the data used to analyse changes of the multivariate structure of the cycle. The DLDA results exemplify that the transition from one to the next phase is much smoother and more continuous than might be expected. Within the sample examined these movements vary as well as the weights attributed to the classifying variables. In a methodological perspective DLDA turns out to be a promising broadening of classification methods.

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    Bibliographic Info

    Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

    Volume (Year): 228 (2008)
    Issue (Month): 1 (February)
    Pages: 84-109

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    Handle: RePEc:jns:jbstat:v:228:y:2008:i:1:p:84-109

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    Related research

    Keywords: Business cycle; 4-phase scheme; discriminant analysis; Germany 1958 to 2004;

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    1. Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne.
    2. J. MUYSKENS & C. de Neubourg, 1986. "Introduction," Discussion Papers (REL - Recherches Economiques de Louvain) 1986031, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    3. James H. Stock & Mark W. Watson, 2005. "Understanding Changes In International Business Cycle Dynamics," Journal of the European Economic Association, MIT Press, vol. 3(5), pages 968-1006, 09.
    4. John R. Meyer & Daniel H. Weinberg, 1975. "On the Classification of Economic Fluctuations," NBER Chapters, in: Explorations in Economic Research, Volume 2, number 2, pages 43-78 National Bureau of Economic Research, Inc.
    5. John R. Meyer & Daniel H. Weinberg, 1976. "On the Classification of Economic Fluctuations: An Update," NBER Chapters, in: Explorations in Economic Research, Volume 3, number 4, pages 140-141 National Bureau of Economic Research, Inc.
    6. Michael T. Belongia & Michelle R. Garfinkel (), 1992. "The business cycle: theories and evidence: proceedings of the sixteenth annual Economic Policy Conference held October 17-18, 1991," Proceedings, Federal Reserve Bank of St. Louis.
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