Dating Business Cycle Turning Points for the French Economy: An MS-DFM approach

Catherine Doz () and Anna Petronevitch
Additional contact information
Catherine Doz: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Anna Petronevitch: University of Ca’ Foscari [Venice, Italy]

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: Several official institutions (NBER, OECD, CEPR, and others) provide business cycle chronologies with lags ranging from three months to several years. In this paper, we propose a Markov-switching dynamic factor model that allows for a more timely estimation of turning points. We apply one-step and two-step estimation approaches to French data and compare their performance. One-step maximum likelihood estimation is confined to relatively small data sets, whereas two-step approach that uses principal components can accommodate much bigger information sets. We find that both methods give qualitatively similar results and agree with the OECD dating of recessions on a sample of monthly data covering the period 1993–2014. The two-step method is more precise in determining the beginnings and ends of recessions as given by the OECD. Both methods indicate additional downturns in the French economy that were too short to enter the OECD chronology.

Keywords: Dynamic factor models; Markov-switching models; business cycle turning points (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Published in Advances in Econometrics, 2016, Dynamic Factor Models, 35, pp.481-538. ⟨10.1108/S0731-905320150000035012⟩

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

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:hal:cesptp:hal-01300932

DOI: 10.1108/S0731-905320150000035012

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().