Dating the Italian Business Cycle: A Comparison of Procedures

Giancarlo Bruno and Edoardo Otranto

Econometrics from University Library of Munich, Germany

Abstract: The problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical methodologies, parametric and non parametric. Despite of this, only a few countries produce an official dating of the business cycle. In this work we try to apply some procedures for an automatic dating of the Italian business cycle in the last thirty years, checking differences among various methodologies and with the ISAE chronology. To this end parametric as well as non parametric methods are employed. The analysis is carried out both aggregating results from single time series and directly in a multivariate framework. The different methods are also evaluated with respect to their ability to timely track turning points. KEYWORDS: signal extraction, turning points, parametric methods, nonparametric methods

Keywords: signal extraction; turning points; parametric methods; nonparametric methods (search for similar items in EconPapers)
JEL-codes: C1 C3 C5 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2003-12-18
Note: Type of Document - pdf; prepared on Win98; to print on A4 paper; pages: 20. pdf document submitted via ftp
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Citations: View citations in EconPapers (11)

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Related works:
Working Paper: Dating the Italian BUsiness Cycle: A Comparison of Procedures (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0312003

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