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A Sensitivity Analysis of the Identification of Business Cycles to the Choice of the Statistical Method (in Persian)

Author

Listed:
  • Mojab, Ramin

    (Iran)

  • Barakchian, Seyed Mehdi

    (Iran)

Abstract

Identification of business cycles is important because formulating a proper economic policy depends crucially on correct identification of the economic conditions. Einian and Barakchian (1393 Hijri-Shamsi) identified business cycles in the Iranian economy based on a univariate statistical method. In this paper, the sensitivity of the results to the usage of the statistical methods of Hodrick and Presscott (1997), Baxter and King (1999), Christiano and Fitzgerald (2003), Beveridge and Nelson (1981) and Stock and Watson (1988) is analyzed. The results show that identifying business cycles based on NBER definition of expansion and recession is not sensitive to the statistical method used, while the size of the output gap does critically depends on it.

Suggested Citation

  • Mojab, Ramin & Barakchian, Seyed Mehdi, 2014. "A Sensitivity Analysis of the Identification of Business Cycles to the Choice of the Statistical Method (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 7(21), pages 381-405, October.
    • Handle: RePEc:mbr:jmbres:v:7:y:2014:i:21:p:381-405
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    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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