A comparison of two business cycle dating methods

被引：92

作者：

Harding, D ^{[1
]}

Pagan, A

机构：

[1] Univ Melbourne, Melbourne Inst Appl Econ & Social Res, Melbourne, Vic 3010, Australia

[2] Australian Natl Univ, Res Sch Social Sci, Econ Program, Canberra, ACT 0200, Australia

[3] Univ Oxford Nuffield Coll, Oxford OX1 1NF, England

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2003年 / 27卷 / 09期

关键词：

business cycle; Markov switching; NBER dates; dating rules; turning points;

D O I：

10.1016/S0165-1889(02)00076-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the suggestion that Markov switching (MS) models should be used to determine cyclical turning points. A Kalman filter approximation is used to derive the dating rules implicit in such models. We compare these with dating rules in an algorithm that provides a good approximation to the chronology determined by the NBER. We find that there is very little that is attractive in the MS approach when compared with this algorithm. The most important difference relates to robustness. The MS approach depends on the validity of that statistical model. Our approach is valid in a wider range of circumstances. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：1681 / 1690

页数：10

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