Economics at your fingertips  

Measuring U.S. Business Cycles: A Comparison of Two Methods and Two Indicators of Economic Activities (With Appendix A)

Francis Ahking ()

No 2015-06, Working papers from University of Connecticut, Department of Economics

Abstract: We examine two issues in business cycle research. We first compare the performance of Hamilton’s Markov-Switching (MS) model and the Bry and Boschan algorithm in replicating the US business cycle features. A number of studies, especially Harding and Pagan, have demonstrated that Hamilton’s nonlinear MS model do not replicate business cycle features better than simpler linear models. Second, we compare the ability of the U.S. real GDP and a relatively new coincident index of four economic indicators, published by the Federal Reserve Bank of Philadelphia, in replicating features of the U.S. business cycle. We find that Hamilton’s MS model is not robust when compared to the Bry and Boschan algorithm with respect to different sample periods and to different measures of real income. Second, we also find that a constructed quarterly version of the coincident index is slightly preferred over the real GDP.

Keywords: Markov-switching model; Bry and Boschan algorithm; business cycle dating (search for similar items in EconPapers)
JEL-codes: E32 E37 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2015-04
New Economics Papers: this item is included in nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Full text (revised version) (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

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:

Access Statistics for this paper

More papers in Working papers from University of Connecticut, Department of Economics University of Connecticut 365 Fairfield Way, Unit 1063 Storrs, CT 06269-1063. Contact information at EDIRC.
Bibliographic data for series maintained by Mark McConnel ().

Page updated 2023-11-28
Handle: RePEc:uct:uconnp:2015-06