Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area
AbstractIn this paper, we aim at assessing Markov-switching and threshold models in their ability to identify turning points of economic cycles. By using vintage data that are updated on a monthly basis, we compare their ability to detect ex-post the occurrence of turning points of the classical business cycle, we evaluate the stability over time of the signal emitted by the models and assess their ability to detect in real-time recession signals. In this respect, we have built an historical vintage database for the Euro area going back to 1970 for two monthly macroeconomic variables of major importance for short-term economic outlook, namely the Industrial Production Index and the Unemployment Rate.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00423890.
Date of creation: Aug 2009
Date of revision:
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00423890
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
Business cycle; Euro zone; Markov switching model; SETAR model; unemployment; industrial production.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-31 (All new papers)
- NEP-BEC-2009-10-31 (Business Economics)
- NEP-ECM-2009-10-31 (Econometrics)
- NEP-EEC-2009-10-31 (European Economics)
- NEP-ETS-2009-10-31 (Econometric Time Series)
- NEP-MAC-2009-10-31 (Macroeconomics)
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.