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Detection of the Industrial Business Cycle using SETAR Models

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  • Laurent Ferrara

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  • Dominique Guégan

    ()

Abstract

In this paper, we consider a threshold time series model in order to take into account certain stylized facts of the business cycle, such as asymmetries in the phases of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given in real-time. First, we introduce the various threshold models and we discuss both their statistical theoretical and empirical properties. Especially, we review the classical techniques to estimate the number of regimes, the threshold, the delay and the parameters of the model. Then we apply these models to the Euro-zone industrial production index to detect in real-time, trough a dynamic simulation approach, the dates of peaks and throughs in the business cycle.

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File URL: http://dx.doi.org/10.1787/jbcma-v2005-art9-en
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Bibliographic Info

Article provided by OECD Publishing,CIRET in its journal Journal of Business Cycle Measurement and Analysis.

Volume (Year): 2005 (2005)
Issue (Month): 3 ()
Pages: 353-371

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Handle: RePEc:oec:stdkaa:5l9k5d020423

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Keywords: Economic cycle; Turning point detection; Threshold model; Euro area IPI;

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References

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  4. Jacques Anas & Laurent Ferrara, 2004. "Detecting Cyclical Turning Points: The ABCD Approach and Two Probabilistic Indicators," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2004(2), pages 193-225.
  5. Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Long-memory dynamics in a SETAR model - Applications to stock markets," Post-Print halshs-00179339, HAL.
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Cited by:
  1. Roque Montero, 2012. "Does Linearity in the Dynamics of Inflation Gap and Unemployment Rate Matter?," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 27(1), pages 3-26, April.
  2. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
  3. repec:hal:journl:halshs-00368358 is not listed on IDEAS
  4. repec:hal:journl:halshs-00423890 is not listed on IDEAS

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