Modeling Business Cycles In The Romanian Economy Using The Markov Switching Approach
AbstractI use the Markov Switching AR approach to model the business cycles in Romanian economy for the 1991-2008 period using monthly data on industrial production. The time series used allows for a comparison with previous dating of Romanian business cycles. Generally, the MS-AR performs well, confirming the previous finding about turning points in business cycles during the transition period. At the same time, it suggests that the ongoing recession started earlier than conventionally thought and that it may last more than a year and a half.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2010)
Issue (Month): 1 (March)
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business cycles; Markov switching; nonlinear methods; transition economies; mathematical methods;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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