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Dating the Italian BUsiness Cycle: A Comparison of Procedures

  • Bruno Giancarlo

    (ISAE - Institute for Studies and Economic Analyses)

  • Edoardo Otranto

    (ISTAT - Istituto Nazionale di Statistica)

The problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical methodologies, parametric and non parametric. Despite of this, only a few countries produce an official dating of the business cycle. In this work we try to apply some procedures for an automatic dating of the Italian business cycle in the last thirty years, checking differences among various methodologies and with the ISAE chronology. To this end parametric as well as non parametric methods are employed. The analysis is carried out both aggregating results from single time series and directly in a multivariate framework. The different methods are also evaluated with respect to their ability to timely track turning points.

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File URL: http://lipari.istat.it/digibib/Working_Papers/Brunootranto41wp2004.pdf
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Paper provided by ISTAT - Italian National Institute of Statistics - (Rome, ITALY) in its series ISAE Working Papers with number 41.

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Length: 28 pages
Date of creation: Jan 2004
Date of revision:
Handle: RePEc:isa:wpaper:41
Contact details of provider: Postal: Via Cesare Balbo 16, Roma
Phone: +390646732606
Web page: http://www.istat.it/en/
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  2. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
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  11. Zacharias Psaradakis & Nicola Spagnolo, 2002. "On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models," Computing in Economics and Finance 2002 83, Society for Computational Economics.
  12. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, 07.
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