Dating the Italian BUsiness Cycle: A Comparison of Procedures
AbstractThe problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical methodologies, parametric and non parametric. Despite of this, only a few countries produce an official dating of the business cycle. In this work we try to apply some procedures for an automatic dating of the Italian business cycle in the last thirty years, checking differences among various methodologies and with the ISAE chronology. To this end parametric as well as non parametric methods are employed. The analysis is carried out both aggregating results from single time series and directly in a multivariate framework. The different methods are also evaluated with respect to their ability to timely track turning points.
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Bibliographic InfoPaper provided by ISTAT - Italian National Institute of Statistics - (Rome, ITALY) in its series ISAE Working Papers with number 41.
Length: 28 pages
Date of creation: Jan 2004
Date of revision:
business cycle; turning points; parametric methods; nonparametric methods.;
Other versions of this item:
- Giancarlo Bruno & Edoardo Otranto, 2003. "Dating the Italian Business Cycle: A Comparison of Procedures," Econometrics 0312003, EconWPA.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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