 CLASSICAL AND MODERN BUSINESS CYCLE MEASUREMENT: THE EUROPEAN CASEHans-Martin Krolzig and J. Toro Economics Series Working Papers from University of Oxford, Department of Economics Abstract: his paper intends to harmonize two different approaches to the analysis of the business cycle and in doing so it retrieves the stylized facts of the business cycle in Europe. We start with the classical' approach proposed in Burns and Mitchell (1946) of dating and analyzing the business cycle; we then adopt the modern' alternative: the Markov-switching time series model proposed in Hamilton (1989a). The model's regime probabilities provide an optimal statistical inference of the turning point of the European business cycle. For assessing the capacity of the parametric approach to generate the stylized facts of the classical cycle in Europe, the stylized facts of the original data are compared to those of simulated data. The MS VAR model is shown to be a good candidate for use as a statistical instrument to improve the understanding of the business cycle. Keywords: BUSINESS CYCLES; TIME SERIES; STATISTICAL INSTRUMENTS (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:oxf:wpaper:9960 Access Statistics for this paper More papers in Economics Series Working Papers from University of Oxford, Department of Economics Contact information at EDIRC. |
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