Application of Three Alternative Approaches to Identify Business Cycles in Peru
Por Rodríguez, Gabriel
May 2007
Idioma: English
Keywords
- asymmetries
- Markov Switching
- regional business cycles
- transitory and permanent components
Clasificación JEL:
- C22
- C52
- E32
Resumen:
Three alternative econometric approaches are used to estimate business cycles in the Peruvian economy. These approaches are the Plucking model due to Friedman (1964, 1993), the Markov Switching model proposed by Hamilton (1989) and the Smooth Transition Autoregressive (STAR) model suggested by Teräsvirta (1994). The results show strong rejection of the null hypothesis of linearity, presence of asymmetries and nonlinearities. Furthermore, the methods allow to find the principal episodes of recession for the Peruvian economy. *Accepted in the Journal of Business Cycle Measurement and Analisis.*