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Application of Three Alternative Approaches to Identify Business Cycles in Peru

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Author Info
Rodriguez Gabriel () (Universidad of Ottawa and Central Bank of Peru)

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Abstract

Three alternative econometric approaches are used to estimate business cycles in the Peruvian economy. These approaches are the Plucking model due to Friedman (1964, 1993), the Markov Switching model proposed by Hamilton (1989) and the Smooth Transition Autoregressive (STAR) model suggested by Teräsvirta (1994). The results show strong rejection of the null hypothesis of linearity, presence of asymmetries and nonlinearities. Furthermore, the methods allow to find the principal episodes of recession for the Peruvian economy.

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File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2007/Working-Paper-07-2007.pdf
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Publisher Info
Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2007-007.

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Date of creation: May 2007
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Handle: RePEc:rbp:wpaper:2007-007

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Related research
Keywords: Asymmetries; Business Regional Fluctuations; Markov Switching; Transitory and Permanent Components;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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