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An Alternative Approach to the Dating of Business Cycle: Nonparametric Kernel Estimation

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  • Jitka Poměnková

Abstract

The paper provides the methodological background for the Czech Republic business cycle dating process using an alternative approach. This approach is based on the mathematical principle of identification of extremes using estimates of derivations of time trend of the analysed time series, for which the nonparametric Gasser-Müller estimate is used. The presented methodological approach is applied on the real gross domestic product data sets, the total industry (excluding construction), the gross capital formation and the final consumption expenditure. The selected variables are taken from the national accounts system. The obtained results are compared to the widely used naive technique of business cycle dating written by Canova (1998, 1999) or Bonenkamp (2001). The presented new method specifies the identification of turning points in the business cycle dating process.

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Bibliographic Info

Article provided by University of Economics, Prague in its journal Prague Economic Papers.

Volume (Year): 2010 (2010)
Issue (Month): 3 ()
Pages: 251-272

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Handle: RePEc:prg:jnlpep:v:2010:y:2010:i:3:id:375:p:251-272

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Related research

Keywords: stabilization policy; identification of turning points; Gasser-Müller estimate; business cycle;

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References

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  1. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Econometrics, EconWPA 0403006, EconWPA.
  2. Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, Elsevier, vol. 41(3), pages 533-540, May.
  3. Canova, Fabio, 1999. "Does Detrending Matter for the Determination of the Reference Cycle and the Selection of Turning Points?," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 109(452), pages 126-50, January.
  4. Kapounek, Svatopluk, 2009. "Estimation of the Business Cycles - Selected Methodological Problems of the Hodrick-Prescott Filter Application," MPRA Paper 27567, University Library of Munich, Germany.
  5. Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers 782, C.E.P.R. Discussion Papers.
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