Detection of the Industrial Business Cycle using SETAR Models
Detection of the Industrial Business Cycle using SETAR Models:

In this paper, we consider a threshold time series model in order to take into account certain stylized facts of the business cycle, such as asymmetries in the phases of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given in real-time. First...

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Bibliographische Detailangaben
1. Verfasser: Ferrara, Laurent (VerfasserIn)
Weitere Verfasser: Guégan, Dominique (MitwirkendeR)
Format: Elektronisch Buchkapitel
Sprache:English
Veröffentlicht: Paris OECD Publishing 2006
Schlagworte:
Economics
Online-Zugang:DE-384
DE-473
DE-824
DE-29
DE-739
DE-355
DE-20
DE-1028
DE-1049
DE-521
DE-861
DE-898
DE-92
DE-91
DE-573
DE-19
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Zusammenfassung:In this paper, we consider a threshold time series model in order to take into account certain stylized facts of the business cycle, such as asymmetries in the phases of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given in real-time. First, we introduce the various threshold models and we discuss both their statistical theoretical and empirical properties. Especially, 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-zone industrial production index to detect in real-time, trough a dynamic simulation approach, the dates of peaks and throughs in the business cycle
Beschreibung:1 Online-Ressource (19 Seiten)
DOI:10.1787/jbcma-v2005-art9-en

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