A comparison of the real-time performance of business cycle dating methods

Journal of Business and Economic Statistics

Volumn 26, Issue 1, 2008, Pages 42-49

  Chauvet, Marcelle ^a   Piger, Jeremy ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF OREGON   (United States)

Author keywords

Dynamic factor model; Markov switching; Recession; Turning point; Vintage data

Indexed keywords

EID: 38349051931     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500107000000296     Document Type: Article

References (15)

1. Boehm, E., and Moore, G. H. (1984), "New Economic Indicators for Australia, 1949-1984," Australian Economic Review, 68, 34-56.
2. Bry, G., and Boschan, C. (1971), Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, New York: National Bureau of Economic Research.
3. Burns, A. F., and Mitchell, W. A. (1946), Measuring Business Cycles, New York: National Bureau of Economic Research.
4. Chauvet, M. (1998), "An Econometric Characterization of Business Cycle Dynamics With Factor Structure and Regime Switching," International Economic Review, 39, 969-996.
5. Chauvet, M., and Hamilton, J. (2006), "Dating Business Cycle Turning Points in Real Time," in Nonlinear Time Series Analysis of Business Cycles, eds. C. Milas, P. Rothman, and D. Van Dijk, Amsterdam: Elsevier Science, pp. 1-54.
6. Chauvet, M., and Piger, J. (2003), "Identifying Business Cycle Turning Points in Real Time," Federal Reserve Bank of St. Louis Review, 85, 47-61.
7. Croushore, D., and Stark, T. (2001), "A Real-Time Data Set for Macroeconomists," Journal of Econometrics, 105, 111-130.
8. Hamilton, J. D. (1989), "A New Approach to the Economic Analysis of Non-stationary Time Series and the Business Cycle," Econometrica, 57, 357-384.
9. Harding, D., and Pagan, A. (2003), "A Comparison of Two Business Cycle Dating Methods," Journal of Economic Dynamics and Control, 27, 1681-1690.
10. _ (2006), "Synchronization of Cycles," Journal of Econometrics, 132, 59-79.
11. Kim, C.-J., and Nelson, C. R. (1998), "Business Cycle Turning Points, a New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching," Review of Economics and Statistics, 80, 188-201.
12. Layton, A. P. (1996), "Dating and Predicting Phase Changes in the U.S. Business Cycle," International Journal of Forecasting, 12, 417-428.
13. Stock, J. H., and Watson, M. W. (1989), "New Indexes of Coincident and Leading Economic Indicators," NBER Macroeconomics Annual, 4, 351-393.
14. _ (1991), "A Probability Model of the Coincident Economic Indicators," in Leading Economic Indicators: New Approaches and Forecasting Records, eds. K. Lahiri and G. H. Moore, Cambridge, U.K.: Cambridge University Press, pp. 63-90.
15. Watson, M. W. (1994), "Business Cycle Durations and Postwar Stabilization of the U.S. Economy," American Economic Review, 84, 24-46.