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Application of Three Alternative Approaches to Identify Business Cycles in Peru

  • Rodriguez Gabriel

    ()

    (Universidad of Ottawa and Central Bank of Peru)

Three alternative econometric approaches are used to estimate business cycles in the Peruvian economy. These approaches are the Plucking model due to Friedman (1964, 1993), the Markov Switching model proposed by Hamilton (1989) and the Smooth Transition Autoregressive (STAR) model suggested by Teräsvirta (1994). The results show strong rejection of the null hypothesis of linearity, presence of asymmetries and nonlinearities. Furthermore, the methods allow to find the principal episodes of recession for the Peruvian economy.

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Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2007-007.

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Date of creation: May 2007
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Handle: RePEc:rbp:wpaper:2007-007
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  2. Jansen, Eilev S. & Teräsvirta, Timo, 1995. "Testing Parameter Constancy and super Exogeneity in Econometric Equations," SSE/EFI Working Paper Series in Economics and Finance 53, Stockholm School of Economics.
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