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Une application du modèle de Hamilton à l'estimation des cycles économiques

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  • Guillaume Rabault

Abstract

Hamilton (Hamilton [1989]) proposes an elegant univariate switching-regression model based on a Markov chain to describe business cycles. It has been successfully estimated on US GNP In this paper, we examine its ability to reproduce the business cycles of six industrialized countries as well as OCDE as a whole. Only three countries show a satisfying coincidence between the Markovian transitions and the cycle chronology: United-States, Germany and Japan. The model also allows to test the asymetry of the business cycle. It is almost always rejected. Finally, this work underlines the fragility of maximum likelihood estimation, for multiple local maxima are often found. A smoothing algorithm due to Kitagawa is implemented, which should encourage the use of EM estimation.

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  • Guillaume Rabault, 1993. "Une application du modèle de Hamilton à l'estimation des cycles économiques," Annals of Economics and Statistics, GENES, issue 30, pages 57-83.
    • Handle: RePEc:adr:anecst:y:1993:i:30:p:57-83
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