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Measuring length of business cycles across countries using a new non‐stationary unit‐root cyclical approach

Measuring length of business cycles across countries using a new non‐stationary unit‐root... This article examines the length of the cycles in the gross domestic product (GDP) real per capita series of 15 countries by means of new statistical techniques based on unit root cycles. We propose tests for unit root cycles at each of the frequencies of the process. Using this approach, we are able to approximate the number of periods per cycle. The results show that the cycles have a periodicity of approximately six years when the disturbances are white noise. However, if we permit autocorrelation, they may also occur at smaller intervals of time. Copyright © 2006 John Wiley & Sons, Ltd. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Stochastic Models in Business and Industry Wiley

Measuring length of business cycles across countries using a new non‐stationary unit‐root cyclical approach

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References (35)

Publisher
Wiley
Copyright
Copyright © 2006 John Wiley & Sons, Ltd.
ISSN
1524-1904
eISSN
1526-4025
DOI
10.1002/asmb.633
Publisher site
See Article on Publisher Site

Abstract

This article examines the length of the cycles in the gross domestic product (GDP) real per capita series of 15 countries by means of new statistical techniques based on unit root cycles. We propose tests for unit root cycles at each of the frequencies of the process. Using this approach, we are able to approximate the number of periods per cycle. The results show that the cycles have a periodicity of approximately six years when the disturbances are white noise. However, if we permit autocorrelation, they may also occur at smaller intervals of time. Copyright © 2006 John Wiley & Sons, Ltd.

Journal

Applied Stochastic Models in Business and IndustryWiley

Published: Jul 1, 2006

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