A Sensitivity Analysis of the Identification of Business Cycles to the Choice of the Statistical Method (in Persian)

Ramin Mojab and Seyed Mehdi Barakchian
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Ramin Mojab: Iran
Seyed Mehdi Barakchian: Iran

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2014, vol. 7, issue 21, 381-405

Abstract: Identification of business cycles is important because formulating a proper economic policy depends crucially on correct identification of the economic conditions. Einian and Barakchian (1393 Hijri-Shamsi) identified business cycles in the Iranian economy based on a univariate statistical method. In this paper, the sensitivity of the results to the usage of the statistical methods of Hodrick and Presscott (1997), Baxter and King (1999), Christiano and Fitzgerald (2003), Beveridge and Nelson (1981) and Stock and Watson (1988) is analyzed. The results show that identifying business cycles based on NBER definition of expansion and recession is not sensitive to the statistical method used, while the size of the output gap does critically depends on it.

JEL-codes: C01 C32 C51 E32 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmbres:v:7:y:2014:i:21:p:381-405

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