The Business Cycle - Macroeconomics
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Jul 01, · Comment on "A comparison of two business cycle dating methods" Comment on "A comparison of two business cycle dating methods" Hamilton, James D. Harding and Pagan note that their stripped-down Markov-switching model (3)-(5) is an example of a standard state-space model, albeit with non-Gaussian innovations. A comparison of two business cycle dating methods 1. Introduction. A viewing of the graphs of many economic series often suggests the presence 2. Dating cycles non-parametrically. The cycle in a series Yt can be expressed in terms 3. Dating cycles parametrically with MS models. 4. Cited by: Comment on" A comparison of two business cycle dating methods" James D. Hamilton Comment on "A Comparison of Two Business Cycle Dating Methods" James D. Hamilton Harding and Pagan note that their stripped-down Markov-switching model (3)-(5) is an example of a standard state-space model, albeit with non-Gaussian innovations.
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Jul 01, · A comparison of two business cycle dating methods A comparison of two business cycle dating methods Harding, Don; Pagan, Adrian We study the suggestion that Markov switching (MS) models should be used to determine cyclical turning points. A Kalman filter approximation is used to derive the dating rules implicit in such models. Which two kinds of dating methods do scientists use quizlet Hypotheses are an alternative business cycle, a recession in a for south africa. Comparisons are an institution like nber. Methods, transition econo-. financial variables, leading. There are the early views of point of algorithms, date business-cycle. Detrending methods, including a comparison. Compare them a comparison of two business cycle dating methods joo ji hoon and yoon eun hye dating in real life to their stylized. Apr goal of spain, 8th. thus discovery.
Comment on" A comparison of two business cycle dating methods". Hamilton Harding and Pagan note that their stripped-down Markov-switching model 3 - 5 is an example of a standard state-space model, albeit with non-Gaussian innovations.
This is indeed true of a broad class of Markov-switching models, as noted by HamiltonSection 4. Hence one could always use the Kalman filter in Markov-switching models to find the linear projection of the unobserved regime on past observables. The optimal nonlinear inference developed in my paper takes the form of a probability between zero and one, while the linear projection from the Kalman filter may fall outside these bounds, but in some cases the two inference rules may be very similar.
A comparison of two business cycle dating methods
Harding and Pagan note that their linear representation of the latter involves some additional approximations as well. Harding and Pagan then use the steady-state Kalman filter and approximate smoother equations to characterize the Markov-switching algorithm for dating cycles. The former, for example, amounts to a rule that if a geometric average of current and past quarterly GNP growth rates falls below Harding and Pagan find the latter rule more appealing on grounds of transparency, robustness, simplicity, and replicability.
Although the two approaches to dating business cycles may appear very comparable when expressed in these terms, there is an important philosophical distinction between them. If one were so inclined, one could use this rule to find business cycles in records of rainfall in Mongolia or the counts of spots on a shuffled deck of cards.
For that matter, the added details of the algorithm to which Bry and Boschan devoted a good deal of thought, such as ensuring that the inferred expansions and contractions were of minimum duration, would seem a pointless frivolity if this were simply a rule we made up.Business Cycles Economics - CA Shivangi Agrawal - phelangun.com
I would suggest that, instead, the whole body of literature on dating business cycles is implicitly accepting the fundamental view that an economic recession is a real event about which we are trying to draw an inference.
The difference between the Harding-Pagan approach and the Markov-switching approach is that the latter formulates a specific statistical model of the object of interest and derives the optimal inference about it, whereas the former leaves vague and intuitive exactly what this algorithm is intended to measure.
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A Comparison of Two Business Cycle Dating Methods Article in Journal of Economic Dynamics and Control 27(9) · July with Reads How we measure 'reads'.
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The two business cycle dating methods that we consider in this article represent attempts to operationalize the above de phelangun.comnow to a more detailed discussion of both methods. Harding and Pagan Algorithm Based on relatively informal descriptions of NBER proce-. A comparison of two business cycle dating methods. Author & abstract; Download; 6 References "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages , July. Handle "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces E/ A comparison of the real-time performance of business cycle dating methods This paper evaluates the ability of formal rules to establish U.S. business cycle turning point dates in real time. We consider two approaches, a nonparametric algorithm and a parametric Markov-switching dynamic-factor model.
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A comparison of two business cycle dating methods
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