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Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices

Sergey Smirnov, Nikolai Kondrashov () and Anna Petronevich
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Nikolai Kondrashov: National Research University Higher School of Economics

No WP BRP 122/EC/2016, HSE Working papers from National Research University Higher School of Economics

Abstract: This paper establishes a reference chronology for the Russian economic cycle from the early 1980s to mid-2015. To detect peaks and troughs, we tested nine monthly indices as reference series, three methods of seasonal adjustments (X-12-ARIMA, TRAMO/SEATS, and CAMPLET), and four methods for dating cyclical turning points (local min/max, Bry-Boschan, Harding-Pagan, and Markov-Switching model). As these more or less formal methods led to different estimates, any sensible choice was possible only on the grounds of informal considerations. The final set of turning points looks plausible and separates expansions and contractions in an explicable manner, but further discussions are needed to establish a consensus between experts

Keywords: Economic Cycle; Turning Points; Recession; Russia (search for similar items in EconPapers)
JEL-codes: E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis, nep-mac and nep-tra
Date: 2016
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Published in WP BRP Series: Economics / EC, January 2016, pages 1-28

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