Some statistical aspects of methods for detection of turning points in business cycles

E. Andersson, D. Bock and Marianne Frisén

Journal of Applied Statistics, 2006, vol. 33, issue 3, 257-278

Abstract: Methods for online turning point detection in business cycles are discussed. The statistical properties of three likelihood-based methods are compared. One is based on a Hidden Markov Model, another includes a non-parametric estimation procedure and the third combines features of the other two. The methods are illustrated by monitoring a period of the Swedish industrial production. Evaluation measures that reflect timeliness are used. The effects of smoothing, seasonal variation, autoregression and multivariate issues on methods for timely detection are discussed.

Keywords: Monitoring; surveillance; early warning system; regime switching (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (12)

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DOI: 10.1080/02664760500445517

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