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Measuring length of business cycles across countries using a new non‐stationary unit‐root cyclical approach

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  • L. A. Gil‐Alana

Abstract

This article examines the length of the cycles in the gross domestic product (GDP) real per capita series of 15 countries by means of new statistical techniques based on unit root cycles. We propose tests for unit root cycles at each of the frequencies of the process. Using this approach, we are able to approximate the number of periods per cycle. The results show that the cycles have a periodicity of approximately six years when the disturbances are white noise. However, if we permit autocorrelation, they may also occur at smaller intervals of time. Copyright © 2006 John Wiley & Sons, Ltd.

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  • L. A. Gil‐Alana, 2006. "Measuring length of business cycles across countries using a new non‐stationary unit‐root cyclical approach," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 22(4), pages 385-395, July.
    • Handle: RePEc:wly:apsmbi:v:22:y:2006:i:4:p:385-395
    DOI: 10.1002/asmb.633
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