Economics at your fingertips  

Measuring U.S. business cycles: A comparison of two methods and two indicators of economic activities

Francis Ahking ()

Journal of Economic and Social Measurement, 2014, issue 4, 199-216

Abstract: We examine two issues in business cycle research. We first compare the performance of Hamilton's Markov-Switching (MS) model and the Bry and Boschan algorithm in replicating the US business cycle features. A number of studies, especially Harding and Pagan, have demonstrated that Hamilton's nonlinear MS model do not replicate business cycle features better than simpler linear models. Second, we compare the ability of the U.S. real GDP and a relatively new coincident index of four economic indicators, published by the Federal Reserve Bank of Philadelphia, in replicating features of the U.S. business cycle. We find that Hamilton's MS model is not robust when compared to the Bry and Boschan algorithm with respect to different sample periods and to different measures of real income. Second, we also find that a constructed quarterly version of the coincident index is slightly preferred over the real GDP.

Keywords: Markov-switching model; Bry and Boschan algorithm; business cycle dating (search for similar items in EconPapers)
JEL-codes: A13 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Measuring U.S. Business Cycles: A Comparison of Two Methods and Two Indicators of Economic Activities (2013) Downloads
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:

Access Statistics for this article

Journal of Economic and Social Measurement is currently edited by Charles G. Renfro

More articles in Journal of Economic and Social Measurement from IOS Press
Bibliographic data for series maintained by Saskia van Wijngaarden ().

Page updated 2023-07-27
Handle: RePEc:ris:iosjes:0020