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Principal Investigator(s): Chauvet, Marcelle, University of California, Riverside, and Federal Reserve Bank of Atlanta; Piger, Jeremy, Federal Reserve Bank of St. Louis
This paper evaluates the ability of a statistical regime-switching model to identify turning points in United States economic activity in real time. The authors work with a Markov-switching model fit to real Gross Domestic Product and employment data that, when estimated on the entire postwar sample, provides a chronology of business cycle peak and trough dates close to that produced by the National Bureau of Economic Research (NBER). Next, they investigate how accurately and quickly the model would have identified NBER-dated turning points had it been used in real time for the past 40 years. In general, the model identifies turning point dates in real time that are close to the NBER dates. For both business cycle peaks and troughs, the model provides systematic improvement over the NBER in the speed at which turning points are identified. Importantly, the model achieves this with few instances of "false positives." Overall, the evidence suggests that the regime-switching model could be a useful supplement to the NBER Business Cycle Dating Committee for establishing turning point dates.
These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
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Chauvet, Marcelle, and Jeremy Piger. Identifying Business Cycle Turning Points in Real Time. ICPSR01284-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2003-06-25. doi:10.3886/ICPSR01284.v1
Persistent URL: http://doi.org/10.3886/ICPSR01284.v1
Scope of Study
Geographic Coverage: United States
Data Collection Notes:
(1) The files submitted are the data file, 0203mcd.txt, and the program file, 0203mcp.gss. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
Original ICPSR Release: 2003-06-25
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