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Detection of the Industrial Business Cycle using SETAR models

  • Dominique Guegan

    ()

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - CNRS : UMR8533 - Université Panthéon-Sorbonne - Paris I - Université Paris VIII Vincennes-Saint Denis - Université de Paris X - Nanterre - École normale supérieure de Cachan - ENS Cachan)

  • Laurent Ferrara

    (COE - COE - Chambre de Commerce et d'Industrie de Paris - Commencez à saisir le nom d'une tutelle)

We consider a threshold time series model in order to take into account some stylized facts of the industrial business cycle such as asymmetries in the phase of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given. First, we introduce the various threshold models and we discuss both their statistical theoretical and empirical properties. Specifically, we review the classical techniques to estimate the number of regimes, the threshold, the delay and the parameters of the model. Then, we apply these models to the euro area industrial production index to detect, through a dynamic simulation approach, the dates of peaks and thoughs in business cycle.

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Paper provided by HAL in its series Post-Print with number halshs-00201309.

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Date of creation: 2005
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Publication status: Published, Journal of Business Cycle Measurement and Analysis, 2005, 2, 353-371
Handle: RePEc:hal:journl:halshs-00201309
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00201309/en/
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