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A comparison of two business cycle dating methods

โœ Scribed by Don Harding; Adrian Pagan

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
304 KB
Volume
27
Category
Article
ISSN
0165-1889

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โœฆ Synopsis

We study the suggestion that Markov switching (MS) models should be used to determine cyclical turning points. A Kalman รฟlter approximation is used to derive the dating rules implicit in such models. We compare these with dating rules in an algorithm that provides a good approximation to the chronology determined by the NBER. We รฟnd that there is very little that is attractive in the MS approach when compared with this algorithm. The most important di erence relates to robustness. The MS approach depends on the validity of that statistical model. Our approach is valid in a wider range of circumstances.

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