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! ]

Detection of the Industrial Business Cycle using SETAR models

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Dominique Guegan () (IDHE - Institutions et Dynamiques Historiques de l'Economie - CNRS : UMR8533 - Université Panthéon-Sorbonne - Paris I - Université Paris VIII Vincennes-Saint Denis - Université de Paris X - Nanterre - Ecole Normale Supérieure de Cachan)
Laurent Ferrara (COE - COE - Chambre de Commerce et d'Industrie de Paris - Commencez à saisir le nom d'une tutelle)

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

Abstract

We consider a threshold time series model in order to take into account some stylized facts of the industrial business cycle such as asymmetries in the phase of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given. First, we introduce the various threshold models and we discuss both their statistical theoretical and empirical properties. Specifically, we review the classical techniques to estimate the number of regimes, the threshold, the delay and the parameters of the model. Then, we apply these models to the euro area industrial production index to detect, through a dynamic simulation approach, the dates of peaks and thoughs in business cycle.

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://halshs.archives-ouvertes.fr/docs/00/20/13/09/PDF/FerraraGuegan_JBCMA_Sep05.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by HAL in its series Post-Print with number halshs-00201309_v1.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 2005
Date of revision:
Publication status: Published, Journal of Business Cycle Measurement and Analysis, 2005, 2, 353-371
Handle: RePEc:hal:journl:halshs-00201309_v1

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00201309/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/

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

Related research
Keywords: Economic cycle – Turning point detection Threshold model – Euro area IPI

Other versions of this item:

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. Sichel, Daniel E, 1994. "Inventories and the Three Phases of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 269-77, July.
  2. Maravall, Agustin & Planas, Christophe, 1999. "Estimation error and the specification of unobserved component models," Journal of Econometrics, Elsevier, vol. 92(2), pages 325-353, October. [Downloadable!] (restricted)
    Other versions:
  3. Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005. "Long-memory dynamics in a SETAR model - applications to stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 391-406, December. [Downloadable!] (restricted)
    Other versions:
  4. Clements, Michael P & Krolzig, Hans-Martin, 2003. "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
  5. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    Other versions:
  6. 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:
  7. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October. [Downloadable!] (restricted)
  8. Coakley, Jerry & Fuertes, Ana-Maria & Perez, Maria-Teresa, 2003. "Numerical issues in threshold autoregressive modeling of time series," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2219-2242, September. [Downloadable!] (restricted)
  9. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  10. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  11. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September. [Downloadable!] (restricted)
  12. Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December. [Downloadable!] (restricted)
  13. Tommaso Proietti, 1998. "Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 3(3), pages 141-156. [Downloadable!] (restricted)
  14. Hans-Martin Krolzig & Juan Toro, 2001. "Classical and Modern Business Cycle Measurement: The European Case," Economics Series Working Papers 060, University of Oxford, Department of Economics. [Downloadable!]
  15. Krolzig, H.-M. & Toro, J., 2001. "Classical And Modern Business Cycle Measurement: The European Case," Economics Series Working Papers 9960, University of Oxford, Department of Economics.
  16. Hans-Martin Krolzig & Juan Toro, 2002. "Classical and Modern Business Cycle Measurement: The European Case," Economic Working Papers at Centro de Estudios Andaluces E2002/20, Centro de Estudios Andaluces. [Downloadable!]
  17. Michael Artis, 2003. "Is there a European Business Cycle?," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
  18. Bruce Hansen, 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(1), pages 1-14. [Downloadable!] (restricted)
  19. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004. "The European business cycle," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 1-44, January.
    Other versions:
  20. Hans-Martin Krolzig, 2001. "Markov-Switching Procedures for Dating the Euro-Zone Business Cycle," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 339-351. [Downloadable!] (restricted)
  21. Clements, Michael P. & Smith, Jeremy, 2001. "Evaluating forecasts from SETAR models of exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 133-148, February. [Downloadable!] (restricted)
  22. Harding, Don & Pagan, Adrian, 2003. "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1681-1690, July. [Downloadable!] (restricted)
  23. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun. [Downloadable!] (restricted)
    Other versions:
  24. Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September. [Downloadable!] (restricted)
    Other versions:
  25. van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001. [Downloadable!]
    Other versions:
  26. Gilles DUFRENOT & Dominique GUEGAN & Anne PEGUIN-FEISSOLLE, 2003. "A SETAR model with long-memory dynamics," Econometrics 0309002, EconWPA. [Downloadable!]
  27. Marcelle Chauvet & Jeremy M. Piger, 2003. "Identifying business cycle turning points in real time," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 47-61. [Downloadable!]
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? IDEAS is also providing many rankings, for example of authors and institutions.

This page was last updated on 2008-12-2.

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.