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Article Dans Une Revue Journal of Business Cycle Measurement and Analysis Année : 2005

Detection of the Industrial Business Cycle using SETAR models

Laurent Ferrara
COE

Résumé

We consider a threshold time series model in order to take into account some stylized facts of the industrial business cycle such as asymmetries in the phase 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. Specifically, 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 area industrial production index to detect, through a dynamic simulation approach, the dates of peaks and thoughs in business cycle.
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Dates et versions

halshs-00201309 , version 1 (27-12-2007)

Identifiants

  • HAL Id : halshs-00201309 , version 1

Citer

Dominique Guegan, Laurent Ferrara. Detection of the Industrial Business Cycle using SETAR models. Journal of Business Cycle Measurement and Analysis, 2005, 2, pp.353-371. ⟨halshs-00201309⟩
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