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A0627
Title: A new approach to dating the reference cycle Authors:  Lola Gadea - University of Zaragoza (Spain) [presenting]
Abstract: A new approach is proposed to the analysis of the reference cycle turning points. Each individual pair of specific peaks and troughs from a set of disaggregated coincident economic indicators is viewed as a realization of a mixture of an unspecified number of separate bivariate Gaussian distributions whose different means are the reference turning points. These dates break the sample into separate reference cycles, whose phase shifts are modeled by a hidden Markov chain. The transition probability matrix is constrained so that the specification is equivalent to a multiple change-point model. Bayesian estimation of finite Markov mixture modeling techniques is suggested to estimate the model. Several Monte Carlo experiments are used to show the accuracy of the model to date reference cycles that suffer from short phases, uncertain turning points, small samples and asymmetric cycles. In the empirical section, we show the high performance of our approach to identifying the US reference cycle, with little difference from the timing of the turning point dates established by the NBER.