Publication result detail

An alternative approach to the dating of business cycle: nonparametric kernel estimation

POMĚNKOVÁ, J.

Original Title

An alternative approach to the dating of business cycle: nonparametric kernel estimation

English Title

An alternative approach to the dating of business cycle: nonparametric kernel estimation

Type

WoS Article

Original Abstract

The paper provides the methodological background for the Czech Republic business cycle dating process using an alternative approach. This approach is based on the mathematical principle of identification of extremes using estimates of derivations of time trend of the analysed time series, for which the nonparametric Gasser-Müller estimate is used. The presented methodological approach is applied on the real gross domestic product data sets, the total industry (excluding construction), the gross capital formation and the final consumption expenditure. The selected variables are taken from the national accounts system. The obtained results are compared to the widely used naive technique of business cycle dating written by Canova (1998, 1999) or Bonenkamp (2001). The presented new method specifies the identification of turning points in the business cycle dating process.

English abstract

The paper provides the methodological background for the Czech Republic business cycle dating process using an alternative approach. This approach is based on the mathematical principle of identification of extremes using estimates of derivations of time trend of the analysed time series, for which the nonparametric Gasser-Müller estimate is used. The presented methodological approach is applied on the real gross domestic product data sets, the total industry (excluding construction), the gross capital formation and the final consumption expenditure. The selected variables are taken from the national accounts system. The obtained results are compared to the widely used naive technique of business cycle dating written by Canova (1998, 1999) or Bonenkamp (2001). The presented new method specifies the identification of turning points in the business cycle dating process.

Keywords

Gasser-Müllerův odhad, hospodářský cyklus, body zvratu

Key words in English

Gasser-Müllerův odhad, hospodářský cyklus, body zvratu

Authors

POMĚNKOVÁ, J.

Released

01.09.2010

Location

Praha

ISBN

12100455-

Periodical

Prague Economic Papers

Volume

3

Number

1

State

Czech Republic

Pages from

251

Pages to

272

Pages count

22

URL

https://pep.vse.cz/pdfs/pep/2010/03/04.pdf

BibTex

@article{BUT149172,
  author="Jitka {Dluhá}",
  title="An alternative approach to the dating of business cycle: nonparametric kernel estimation",
  year="2010",
  volume="3",
  number="1",
  pages="251--272",
  doi="10.18267/j.pep.375",
  url="https://pep.vse.cz/pdfs/pep/2010/03/04.pdf"
}