Dating the Italian BUsiness Cycle: A Comparison of Procedures

Giancarlo Bruno () and Edoardo Otranto ()

No 41, ISAE Working Papers from ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY)

Abstract: The problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical methodologies, parametric and non parametric. Despite of this, only a few countries produce an official dating of the business cycle. In this work we try to apply some procedures for an automatic dating of the Italian business cycle in the last thirty years, checking differences among various methodologies and with the ISAE chronology. To this end parametric as well as non parametric methods are employed. The analysis is carried out both aggregating results from single time series and directly in a multivariate framework. The different methods are also evaluated with respect to their ability to timely track turning points.

Keywords: business cycle; turning points; parametric methods; nonparametric methods. (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2004-01
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Working Paper: Dating the Italian Business Cycle: A Comparison of Procedures (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:isa:wpaper:41

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