This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Two Alternative Approaches to Modelling the Nonlinear Dynamics of the Composite Economic Indicator

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Konstantin, KHOLODILIN () (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))

Additional information is available for the following registered author(s):

Abstract

The analysis and prediction of the short-run economic dynamics, or the evolution of the business cycle, often require a construction of the composite economic indicator (CEI). This indicator may be endowed with nonlinear dynamics to take care of the possible asymmetries between different phases of the business cycle. This paper suggests using the smooth transition autoregression to model the CEI. The performance of this model is compared to the already classical CEI with regime switching. Both models turn out to produce statistically equally good results in terms of forecasting the business cycle turning points.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.ires.ucl.ac.be/DP/IRES_DP/2002-27.pdf
File Format:
File Function:
Download Restriction: no

Publisher Info
Paper provided by Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) in its series Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper with number 2002027.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 21
Date of creation:
Date of revision:
Handle: RePEc:ctl:louvir:2002027

Contact details of provider:
Postal: Place Montesquieu 3, 1348 Louvain-la-Neuve (Belgium)
Fax: +32 10473945
Email:
Web page: http://www.uclouvain.be/econ
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Maryvonne NEYTS).

Related research
Keywords: composite economic indicator Markov switching smooth transition autoregression turning points NBER dating forecasting

Other versions of this item:

Find related papers by JEL classification:
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:
  1. Potter, Simon M, 1999. " Nonlinear Time Series Modelling: An Introduction," Journal of Economic Surveys, Blackwell Publishing, vol. 13(5), pages 505-28, December. [Downloadable!] (restricted)
    Other versions:
  2. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June. [Downloadable!] (restricted)
  3. D. van Dijk & T. Terasvirta & P.H. Franses, 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Report 200, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  4. Diebold, Francis X & Rudebusch, Glenn D, 1989. "Scoring the Leading Indicators," Journal of Business, University of Chicago Press, vol. 62(3), pages 369-91, July. [Downloadable!] (restricted)
    Other versions:
  5. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Layton, Allan P. & Katsuura, Masaki, 2001. "Comparison of regime switching, probit and logit models in dating and forecasting US business cycles," International Journal of Forecasting, Elsevier, vol. 17(3), pages 403-417. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Konstantin A. Kholodilin, 2006. "Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies," Discussion Papers of DIW Berlin 554, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    Other versions:
  2. Konstantin A. Kholodilin, 2005. "Forecasting the Turns of German Business Cycle : Dynamic Bi-factor Model with Markov Switching," Discussion Papers of DIW Berlin 494, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  3. Konstantin A., Kholodilin, 2003. "Identifying and Forecasting the Turns of the Japanese Business Cycle," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2003008, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
Statistics
Access and download statistics

Did you know? RePEc and its associated services are free for contributors and users, and do not accept any advertising.

This page was last updated on 2008-7-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.