Fiche du document
2016
- handle: 10670/1.f4fptw
- hal: hal-01300932
- doi: 10.1108/S0731-905320150000035012
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1108/S0731-905320150000035012
Mots-clés
Dynamic factor models Markov-switching models business cycle turning points C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C34 - Truncated and Censored Models • Switching Regression Models C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C55 - Large Data Sets: Modeling and Analysis E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E32 - Business Fluctuations • CyclesSujets proches
TradeCiter ce document
Catherine Doz et al., « Dating Business Cycle Turning Points for the French Economy: An MS-DFM approach », HAL-SHS : économie et finance, ID : 10.1108/S0731-905320150000035012
Métriques
Partage / Export
Résumé
Several official institutions (NBER, OECD, CEPR, and others) provide business cycle chronologies with lags ranging from three months to several years. In this paper, we propose a Markov-switching dynamic factor model that allows for a more timely estimation of turning points. We apply one-step and two-step estimation approaches to French data and compare their performance. One-step maximum likelihood estimation is confined to relatively small data sets, whereas two-step approach that uses principal components can accommodate much bigger information sets. We find that both methods give qualitatively similar results and agree with the OECD dating of recessions on a sample of monthly data covering the period 1993–2014. The two-step method is more precise in determining the beginnings and ends of recessions as given by the OECD. Both methods indicate additional downturns in the French economy that were too short to enter the OECD chronology.