An Alternative Approach to the Dating of Business Cycle: Nonparametric Kernel Estimation
The paper provides the methodological background for the Czech Republic business cycle dating process using an alternative approach. This approach is based on the mathematical principle of identification of extremes using estimates of derivations of time trend of the analysed time series, for which the nonparametric Gasser-Müller estimate is used. The presented methodological approach is applied on the real gross domestic product data sets, the total industry (excluding construction), the gross capital formation and the final consumption expenditure. The selected variables are taken from the national accounts system. The obtained results are compared to the widely used naive technique of business cycle dating written by Canova (1998, 1999) or Bonenkamp (2001). The presented new method specifies the identification of turning points in the business cycle dating process.
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Volume (Year): 2010 (2010)
Issue (Month): 3 ()
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- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004.
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261, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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Economics Working Papers
113, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 1995.
- Canova, Fabio, 1999. "Does Detrending Matter for the Determination of the Reference Cycle and the Selection of Turning Points?," Economic Journal, Royal Economic Society, vol. 109(452), pages 126-50, January.
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