Forecasting the duration of business cycles.
Item
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Title
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Forecasting the duration of business cycles.
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Identifier
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AAI9000722
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identifier
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9000722
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Creator
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Peleg, Doron.
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Contributor
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Adviser: Salih Neftci
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Date
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1989
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, Theory | Economics, Finance
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Abstract
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The long debate over the existence/non-existence of Business Cycles can be reduced to the question of whether Business Cycles are random fluctuations analogous to a gambler's coin-tossing experiment (Binomial Process) which results in a fluctuating consecutive number of heads/tails regimes to form what looks like cycles, or whether Business Cycle durations have some other specific stochastic distribution. The above "gambler cycles" are not real cycles since there is no fixed cycle period T, in the sense that if N months have already passed, we still expect to have the next turning point T months from now (coin tosses are independent or have no memory), and not T-N months from now. In this paper, we present a continuous time version of the above, where we replace the discrete Binomial Process with a continuous time Poisson Process. By doing so, it becomes easy to show an inconsistency in the modeling procedure and a bias in the inference procedure in some of the papers which investigate the question of the existence of Business Cycles, to suggest how they should be modified in order to avoid the above problems, and to expand, taking into account (economic) shocks.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
