Prague Economic Papers 2010, 19(3):251-272 | DOI: 10.18267/j.pep.375

An Alternative Approach to the Dating of Business Cycle: Nonparametric Kernel Estimation

Jitka Poměnková
Faculty of Business Economics, Mendel University Brno, Zemědělská 1, 613 00 Brno, CR (pomenka@mendelu.cz).

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-Müller estimate, business cycle, identification of turning points, stabilization policy
JEL classification: C14, E32

Published: January 1, 2010  Show citation

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Poměnková, J. (2010). An Alternative Approach to the Dating of Business Cycle: Nonparametric Kernel Estimation. Prague Economic Papers, 19(3), 251-272. doi: 10.18267/j.pep.375
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