Una propuesta para medir el ciclo economico

Randall Romero-Aguilar ()
Additional contact information
Randall Romero-Aguilar: Universidad de Costa Rica. Escuela de Economía. Costa Rica

EconoQuantum, Revista de Economia y Finanzas, 2024, vol. 21, issue 1, 39-58

Abstract: Objetive: To quantify the uncertainty associated to the estimation of the current value of the business cycle. Methodology: The Baxter and King filter is applied to an time series expanded with forecasts, assuming a random walk, and confidence intervals are build for the cyclical component both analytically and using bootstrap. Limitations: The quality of the confidence 1 intervals deteriorates when there is a structural break in the time series. Originality: The original contribution of this article is a proposed methodology to jointly determined the current phase of the business cycle and the uncertainty associated with such measurement. Conclusions: For Costa Rica, the proposed method provides estimations of the business cycle that are less sensitive to new data points than the Hodrick and Prescott filter, and simulations show that the proposed confidence intervals provide the specified nominal confidence.

Keywords: business cycle; Baxter-King filter; projections; confidence intervals; Bootstrap. (search for similar items in EconPapers)
JEL-codes: C22 C53 E32 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://econoquantum.cucea.udg.mx/index.php/EQ/article/view/7325/6801 (application/pdf)
https://econoquantum.cucea.udg.mx/index.php/EQ/issue/view/705

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qua:journl:v:21:y:2024:i:1:p:39-58

Access Statistics for this article

EconoQuantum, Revista de Economia y Finanzas is currently edited by Isai Guizar Mateos

More articles in EconoQuantum, Revista de Economia y Finanzas from Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia. Contact information at EDIRC.
Bibliographic data for series maintained by Sandra Ivett Portugal Padilla ().