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Growth Trends and Systematic Patterns of Booms and Busts - Testing 200 Years of Business Cycle Dynamics -

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Listed:
  • Marlon Fritz

    (Paderborn University)

  • Thomas Gries

    (Paderborn University)

  • Yuanhua Feng

    (Paderborn University)

Abstract

We study the dynamic pattern of business cycles using US GDP data between 1790 and 2010. To address difficulties in the trend and cycle decomposition, we introduce a semiparametric estimation approach with an iterative plug-in (IPI) algorithm for endogenous bandwidth selection. This algorithm identifies continuously Moving Growth Rate Trends (MGT) with a time length of 24 years. Afterwards, nonlinear SETAR models are fitted parametrically. Additionally, we test the trend in a recent developed test and the estimated SETAR models against their linear alternatives. The results indicate asymmetric characteristics during booms and busts.

Suggested Citation

  • Marlon Fritz & Thomas Gries & Yuanhua Feng, 2016. "Growth Trends and Systematic Patterns of Booms and Busts - Testing 200 Years of Business Cycle Dynamics -," Working Papers CIE 96, Paderborn University, CIE Center for International Economics.
  • Handle: RePEc:pdn:ciepap:96
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    Cited by:

    1. Marlon Fritz, 2019. "Data-Driven Local Polynomial Trend Estimation for Economic Data - Steady State Adjusting Trends," Working Papers Dissertations 49, Paderborn University, Faculty of Business Administration and Economics.
    2. Fritz, Marlon, 2019. "Steady state adjusting trends using a data-driven local polynomial regression," Economic Modelling, Elsevier, vol. 83(C), pages 312-325.
    3. Fritz, Marlon & Gries, Thomas & Feng, Yuanhua, 2019. "Secular stagnation? Is there statistical evidence of an unprecedented, systematic decline in growth?," Economics Letters, Elsevier, vol. 181(C), pages 47-50.

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    More about this item

    Keywords

    Business Cycles; Trend and Cycle Decomposition; Semiparametric Estimation; SETAR model;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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