Measuring Business Cycles with Business-Cycle Models

Arbeitspapier

Business cycles may be defined or measured by parametrizing detrending filters to maximize the ability of a business-cycle model to match the moments of the remaining cycles. Thus a theory can be used to guide cycle measurement. We present two applications to U.S. postwar data. In the first application the cycles are measured with a standard, real business cycle model. In the second, they are measured using information on capacity utilization and unemployment rates. Simulation methods are used to describe the properties of the GMM estimators and to allow exact inference.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Queen's Economics Department Working Paper ; No. 901

Classification and Topics

• Classification: Wirtschaft ; Business Fluctuations; Cycles ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Statistical Simulation Methods: General
• Subject: business cycles ; detrending

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gregory, Allan W. ; Smith, Gregor W.
• Event: Veröffentlichung
• (who): Queen's University, Department of Economics
• (where): Kingston (Ontario)
• (when): 1994

Further information

• Handle: http://hdl.handle.net/10419/189223
• Last update: 10.03.2025, 11:42 AM CET