Detection of the Industrial Business Cycle using SETAR Models

Laurent Ferrara and Dominique Guégan ()

Journal of Business Cycle Measurement and Analysis, 2006, vol. 2005, issue 3, 353-371

Abstract: In this paper, we consider a threshold time series model in order to take into account certain stylized facts of the business cycle, such as asymmetries in the phases of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given in real-time. First, we introduce the various threshold models and we discuss both their statistical theoretical and empirical properties. Especially, 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-zone industrial production index to detect in real-time, trough a dynamic simulation approach, the dates of peaks and throughs in the business cycle.

Keywords: Economic cycle; Turning point detection; Threshold model; Euro area IPI (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Detection of the Industrial Business Cycle using SETAR models (2005)
Working Paper: Detection of the industrial business cycle using SETAR models (2005)
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