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Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices

Listed author(s):
  • Sergey V. Smirnov

    ()

    (National Research University Higher School of Economics)

  • Nikolai V. Kondrashov

    ()

    (National Research University Higher School of Economics)

  • Anna V. Petronevich

    ()

    (National Research University Higher School of Economics)

This paper establishes a reference chronology for the Russian economic cycle from the early 1980s to mid-2015. To detect peaks and troughs, we tested nine monthly indices as reference series, three methods of seasonal adjustments (X-12-ARIMA, TRAMO/SEATS, and CAMPLET), and four methods for dating cyclical turning points (local min/max, Bry-Boschan, Harding-Pagan, and Markov-Switching model). As these more or less formal methods led to different estimates, any sensible choice was possible only on the grounds of informal considerations. The final set of turning points looks plausible and separates expansions and contractions in an explicable manner, but further discussions are needed to establish a consensus between experts

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Paper provided by National Research University Higher School of Economics in its series HSE Working papers with number WP BRP 122/EC/2016.

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Length: 28 pages
Date of creation: 2016
Publication status: Published in WP BRP Series: Economics / EC, January 2016, pages 1-28
Handle: RePEc:hig:wpaper:122/ec/2016
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