Application of Three Alternative Approaches to Identify Business Cycles in Peru

Gabriel Rodríguez

No 2007-007, Working Papers from Banco Central de Reserva del Perú

Abstract: Three alternative econometric approaches are used to estimate business cycles in the Peruvian economy. These approaches are the Plucking model due to Friedman (1964, 1993), the Markov Switching model proposed by Hamilton (1989) and the Smooth Transition Autoregressive (STAR) model suggested by Teräsvirta (1994). The results show strong rejection of the null hypothesis of linearity, presence of asymmetries and nonlinearities. Furthermore, the methods allow to find the principal episodes of recession for the Peruvian economy.

Keywords: Asymmetries; Business Regional Fluctuations; Markov Switching; Transitory and Permanent Components (search for similar items in EconPapers)
JEL-codes: C22 C52 E32 (search for similar items in EconPapers)
Date: 2007-05
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2007-007

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