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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| Format: | Elektronisch Artikel |
| Sprache: | English |
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2006
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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 p.) |
| DOI: | 10.1787/jbcma-v2005-art9-en |
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| 520 | |a 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. | ||
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| indexdate | 2024-11-26T14:56:13Z |
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| spelling | Ferrara, Laurent VerfasserIn aut Detection of the Industrial Business Cycle using SETAR Models Laurent, Ferrara and Dominique, Guégan Paris OECD Publishing 2006 1 Online-Ressource (19 p.) Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier 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. Economics Guégan, Dominique MitwirkendeR ctb Enthalten in Journal of Business Cycle Measurement and Analysis Vol. 2005, no. 3, p. 353-371 volume:2005 year:2005 number:3 pages:353-371 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/jbcma-v2005-art9-en Volltext |
| spellingShingle | Ferrara, Laurent Detection of the Industrial Business Cycle using SETAR Models Economics |
| title | Detection of the Industrial Business Cycle using SETAR Models |
| title_auth | Detection of the Industrial Business Cycle using SETAR Models |
| title_exact_search | Detection of the Industrial Business Cycle using SETAR Models |
| title_full | Detection of the Industrial Business Cycle using SETAR Models Laurent, Ferrara and Dominique, Guégan |
| title_fullStr | Detection of the Industrial Business Cycle using SETAR Models Laurent, Ferrara and Dominique, Guégan |
| title_full_unstemmed | Detection of the Industrial Business Cycle using SETAR Models Laurent, Ferrara and Dominique, Guégan |
| title_short | Detection of the Industrial Business Cycle using SETAR Models |
| title_sort | detection of the industrial business cycle using setar models |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/jbcma-v2005-art9-en |
| work_keys_str_mv | AT ferraralaurent detectionoftheindustrialbusinesscycleusingsetarmodels AT guegandominique detectionoftheindustrialbusinesscycleusingsetarmodels |