Detection of the industrial business cycle using SETAR models

Laurent Ferrara and Dominique Guégan

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we consider a threshold time series model in order to take into account certain stylized facts of the industrial business cycle, such as asymmetries in the phases of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given. First, we introduce the various threshold models and we discuss both their statistical theoretical and empirical properties. Especially, we review the classical techniques to estimate the number of regimes, the threshold, the delay and the parameters of the model. Then, we apply these models to the Euro-zone industrial production index to detect, through a dynamic simulation approach, the dates of peaks and troughs in the business cycle.

Keywords: Economic cycle; turning point detection; Threshold model; Euro-zone IPI (search for similar items in EconPapers)
JEL-codes: C22 C51 E32 (search for similar items in EconPapers)
Date: 2005-09
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Citations: View citations in EconPapers (4)

Published in Journal of Business Cycle Measurement and Analysis 3.2(2005): pp. 353-372

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Related works:
Journal Article: Detection of the Industrial Business Cycle using SETAR Models (2006)
Working Paper: Detection of the Industrial Business Cycle using SETAR models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:4389

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