Detection of the Industrial Business Cycle using SETAR models

Abstract : We consider a threshold time series model in order to take into account some stylized facts of the industrial business cycle such as asymmetries in the phase of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given. First, we introduce the various threshold models and we discuss both their statistical theoretical and empirical properties. Specifically, 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 area industrial production index to detect, through a dynamic simulation approach, the dates of peaks and thoughs in business cycle.
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https://halshs.archives-ouvertes.fr/halshs-00201309
Contributeur : Dominique Guégan <>
Soumis le : jeudi 27 décembre 2007 - 18:21:45
Dernière modification le : jeudi 4 octobre 2018 - 18:28:03
Document(s) archivé(s) le : mardi 13 avril 2010 - 15:45:04

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FerraraGuegan_JBCMA_Sep05.pdf
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  • HAL Id : halshs-00201309, version 1

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Dominique Guegan, Laurent Ferrara. Detection of the Industrial Business Cycle using SETAR models. Journal of Business Cycle Measurement and Analysis, OECD Publishing, 2005, 2, pp.353-371. ⟨halshs-00201309⟩

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