An Alternative Approach to the Dating of Business Cycle: Nonparametric Kernel Estimation
AbstractThe 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 InfoArticle provided by University of Economics, Prague in its journal Prague Economic Papers.
Volume (Year): 2010 (2010)
Issue (Month): 3 ()
Postal: Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004.
"Characterising the Business Cycle for Accession Countries,"
- Artis, Michael J & Marcellino, Massimiliano & Proietti, Tommaso, 2004. "Characterizing the Business Cycle for Accession Countries," CEPR Discussion Papers 4457, C.E.P.R. Discussion Papers.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Working Papers 261, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- 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.
- Fabio Canova, 1994. "Does detrending matter for the determination of the reference cycle and the selection of turning points?," Economics Working Papers 113, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 1995.
- 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.
- Canova, Fabio, 1993.
"Detrending and Business Cycle Facts,"
CEPR Discussion Papers
782, C.E.P.R. Discussion Papers.
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